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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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...     »
Stichworte:
chi-square distribution, likelihood ratio test, local alternatives, universal inference
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Electronic Journal of Statistics
Jahr:
2022
Band / Volume:
16
Jahr / Monat:
2022-12
Quartal:
4. Quartal
Monat:
Dec
Heft / Issue:
2
Seitenangaben Beitrag:
6631-6650
Sprache:
en
Volltext / DOI:
doi:10.1214/22-ejs2099
WWW:
Project Euclid
Verlag / Institution:
Institute of Mathematical Statistics
E-ISSN:
1935-7524
Publikationsdatum:
29.12.2022
Semester:
WS 22-23
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
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