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Title:

On the choice of the splitting ratio for the split likelihood ratio test

Document type:
Zeitschriftenaufsatz
Author(s):
Strieder, David; Drton, Mathias
Abstract:
The recently introduced framework of universal inference provides a new approach to constructing hypothesis tests and confidence regions that are valid in finite samples and do not rely on any specific regularity assumptions on the underlying statistical model. At the core of the methodology is a split likelihood ratio statistic, which is formed under data splitting and compared to a cleverly selected universal critical value. As this critical value can be very conservative, it is interesting to...     »
Keywords:
chi-square distribution, likelihood ratio test, local alternatives, universal inference.
Dewey Decimal Classification:
510 Mathematik
Journal title:
Preprint
Year:
2022
Language:
en
Fulltext / DOI:
doi:10.48550/ARXIV.2203.06748
Publisher:
arXiv
Date of publication:
13.03.2022
Semester:
SS 22
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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