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Likelihood centered asymptotic model exponential and location model versions
Institution:1. Department of Civil Engineering and Applied Mechanics, McGill University, Montréal, QC H3A 0C3, Canada;2. Department of Earth Sciences, Schweizerischer Erdbebendienst, ETH, Zürich 8092, Switzerland;3. Department of Applied Mathematics, Moscow State University of Civil Engineering (MGSU), Moscow, Russia
Abstract:For testing a scalar interest parameter in a large sample asymptotic context, methods with third-order accuracy are now available that make a reduction to the simple case having a scalar parameter and scalar variable. For such simple models on the real line, we develop canonical versions that correspond closely to an exponential model and to a location model; these canonical versions are obtained by standardizing and reexpressing the variable and the parameters, the needed steps being given in algorithmic form. The exponential and location approximations have three parameters, two corresponding to the pure-model type and one for departure from that type. We also record the connections among the common test quantities: the signed likelihood departure, the standardized score variable, and the location-scale corrected signed likelihood ratio. These connections are for fixed data point and would bear on the effectiveness of the quantities for inference with the particular data; an earlier paper recorded the connections for fixed parameter value, and would bear on distributional properties.
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