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Title:

Wald tests of singular hypotheses

Document type:
Zeitschriftenaufsatz
Author(s):
Drton, Mathias; Xiao, Han
Abstract:
Motivated by the problem of testing tetrad constraints in factor analysis, we study the large-sample distribution of Wald statistics at parameter points at which the gradient of the tested constraint vanishes. When based on an asymptotically normal estimator, the Wald statistic converges to a rational function of a normal random vector. The rational function is determined by a homogeneous polynomial and a covariance matrix. For quadratic forms and bivariate monomials of arbitrary degree, we show...     »
Keywords:
asymptotic distribution, factor analysis, large-sample theory, singular parameter point, tetrad, Wald statistic
Dewey Decimal Classification:
510 Mathematik
Journal title:
Bernoulli
Year:
2016
Journal volume:
22
Year / month:
2016-02
Quarter:
1. Quartal
Month:
Feb
Journal issue:
1
Pages contribution:
38-59
Language:
en
Fulltext / DOI:
doi:10.3150/14-bej620
Publisher:
Bernoulli Society for Mathematical Statistics and Probability
E-ISSN:
1350-7265
Notes:
First available in Project Euclid: 30 September 2015
Date of publication:
01.02.2016
Format:
Text
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