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research article

Improved inference for a boundary parameter

Elkantassi, Soumaya  
•
Bellio, Ruggero
•
Brazzale, Alessandra R.
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August 4, 2023
Canadian Journal Of Statistics-Revue Canadienne De Statistique

The limiting distributions of statistics used to test hypotheses about parameters on the boundary of their domains may provide very poor approximations to the finite-sample behaviour of these statistics, even for very large samples. We review theoretical work on this problem, describe hard and soft boundaries and iceberg estimators, and give examples highlighting how the limiting results greatly underestimate the probability that the parameter lies on its boundary even in very large samples. We propose and evaluate some simple remedies for this difficulty based on normal approximation for the profile score function, and then outline how higher order approximations yield excellent results in a range of hard and soft boundary examples. We use the approach to develop an accurate test for the need for a spline component in a linear mixed model.

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Type
research article
DOI
10.1002/cjs.11791
Web of Science ID

WOS:001042819800001

Author(s)
Elkantassi, Soumaya  
Bellio, Ruggero
Brazzale, Alessandra R.
Davison, Anthony C.  
Date Issued

2023-08-04

Publisher

WILEY

Published in
Canadian Journal Of Statistics-Revue Canadienne De Statistique
Subjects

Statistics & Probability

•

Mathematics

•

higher order likelihood inference

•

mixture model

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nonstandard likelihood theory

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restricted likelihood

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smoothing spline

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maximum-likelihood-estimation

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statistical-inference

•

quadratic-forms

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models

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approximations

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asymptotics

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ratio

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
August 28, 2023
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/200205
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