The Annals of Statistics
- Ann. Statist.
- Volume 34, Number 3 (2006), 1166-1203.
Testing the order of a model
This paper deals with order identification for nested models in the i.i.d. framework. We study the asymptotic efficiency of two generalized likelihood ratio tests of the order. They are based on two estimators which are proved to be strongly consistent. A version of Stein’s lemma yields an optimal underestimation error exponent. The lemma also implies that the overestimation error exponent is necessarily trivial. Our tests admit nontrivial underestimation error exponents. The optimal underestimation error exponent is achieved in some situations. The overestimation error can decay exponentially with respect to a positive power of the number of observations.
These results are proved under mild assumptions by relating the underestimation (resp. overestimation) error to large (resp. moderate) deviations of the log-likelihood process. In particular, it is not necessary that the classical Cramér condition be satisfied; namely, the log-densities are not required to admit every exponential moment. Three benchmark examples with specific difficulties (location mixture of normal distributions, abrupt changes and various regressions) are detailed so as to illustrate the generality of our results.
Ann. Statist., Volume 34, Number 3 (2006), 1166-1203.
First available in Project Euclid: 10 July 2006
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60F10: Large deviations 60G57: Random measures 62C99: None of the above, but in this section 62F03: Hypothesis testing 62F05: Asymptotic properties of tests 62F12: Asymptotic properties of estimators
Chambaz, Antoine. Testing the order of a model. Ann. Statist. 34 (2006), no. 3, 1166--1203. doi:10.1214/009053606000000344. https://projecteuclid.org/euclid.aos/1152540746