Some Second-Order Asymptotics for Extreme Value Linear Regression Models |
| |
Authors: | Gauss M. Cordeiro |
| |
Affiliation: | Departamento de Física e Matemática , Universidade Federal Rural de Pernambuco , Recife, PE, Brazil |
| |
Abstract: | ABSTRACT In this article we derive finite-sample corrections in matrix notation for likelihood ratio and score statistics in extreme-value linear regression models. We consider three corrected score tests that perform better than the usual score test. We also derive general formulae for second-order biases of maximum likelihood estimates of the linear parameters. Some simulations are performed to compare the likelihood ratio and score statistics with their modified versions and to illustrate the bias correction. |
| |
Keywords: | Bartlett correction Bartlett-type correction Bias correction Bootstrap test Chi-squared distribution Extreme-value model Maximum likelihood estimate |
|