Sieve likelihood ratio statistics and Wilks phenomenon

Jianqing Fan Chunming Zhang Jian Zhang

Statistics Theory and Methods mathscidoc:1912.43384

1999.7
Maximum likelihood ratio theory contributes tremendous success to parametric inferences, due to the fundamental theory of Wilks (1938). Yet, there is no general applicable approach for nonparametric inferences based on function estimation. Maximum likelihood ratio test statistics in general may not exist in nonparametric function estimation setting. Even if they exist, they are hard to nd and can not be optimal as shown in this paper. In this paper, we introduce the sieve likelihood statistics to overcome the drawbacks of nonparametric maximum likelihood ratio statistics. New Wilks' phenomenon is unveiled. We demonstrate that the sieve likelihood statistics are asymptotically distribution free and follow 2-distributions under null hypotheses for a number of useful hypotheses and a variety of useful models including Gaussian white noise models, nonparametric regression models, varying coefficient models and generalized varying coefficient models. We further demonstrate that sieve likelihood ratio statistics are asymptotically optimal in the sense that they achieve optimal rates of convergence given by Ingster (1993). They can even be adaptively optimal in the sense of Spokoiny (1996) by using a simple choice of adaptive smoothing parameter. Our work indicates that the sieve likelihood ratio statistics are indeed general and powerful for nonparametric inferences based on function estimation.
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@inproceedings{jianqing1999sieve,
  title={Sieve likelihood ratio statistics and Wilks phenomenon},
  author={Jianqing Fan, Chunming Zhang, and Jian Zhang},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221114058915979944},
  year={1999},
}
Jianqing Fan, Chunming Zhang, and Jian Zhang. Sieve likelihood ratio statistics and Wilks phenomenon. 1999. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221114058915979944.
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