Longitudinal Data Analysis and Time Series Commons^™

On Likelihood Ratio Tests When Nuisance Parameters Are Present Only Under The Alternative, Cz Di, K-Y Liang

Chongzhi Di

In parametric models, when one or more parameters disappear under the null hypothesis, the likelihood ratio test statistic does not converge to chi-square distributions. Rather, its limiting distribution is shown to be equivalent to that of the supremum of a squared Gaussian process. However, the limiting distribution is analytically intractable for most of examples, and approximation or simulation based methods must be used to calculate the p values. In this article, we investigate conditions under which the asymptotic distributions have analytically tractable forms, based on the principal component decomposition of Gaussian processes. When these conditions are not satisfied, the principal …