The Annals of Statistics

Likelihood ratio tests and singularities

Mathias Drton

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Abstract

Many statistical hypotheses can be formulated in terms of polynomial equalities and inequalities in the unknown parameters and thus correspond to semi-algebraic subsets of the parameter space. We consider large sample asymptotics for the likelihood ratio test of such hypotheses in models that satisfy standard probabilistic regularity conditions. We show that the assumptions of Chernoff’s theorem hold for semi-algebraic sets such that the asymptotics are determined by the tangent cone at the true parameter point. At boundary points or singularities, the tangent cone need not be a linear space and limiting distributions other than chi-square distributions may arise. While boundary points often lead to mixtures of chi-square distributions, singularities give rise to nonstandard limits. We demonstrate that minima of chi-square random variables are important for locally identifiable models, and in a study of the factor analysis model with one factor, we reveal connections to eigenvalues of Wishart matrices.

Article information

Source
Ann. Statist., Volume 37, Number 2 (2009), 979-1012.

Dates
First available in Project Euclid: 10 March 2009

Permanent link to this document
https://projecteuclid.org/euclid.aos/1236693157

Digital Object Identifier
doi:10.1214/07-AOS571

Mathematical Reviews number (MathSciNet)
MR2502658

Zentralblatt MATH identifier
1196.62020

Subjects
Primary: 60E05: Distributions: general theory 62H10: Distribution of statistics

Keywords
Algebraic statistics factor analysis large sample asymptotics semi-algebraic set tangent cone

Citation

Drton, Mathias. Likelihood ratio tests and singularities. Ann. Statist. 37 (2009), no. 2, 979--1012. doi:10.1214/07-AOS571. https://projecteuclid.org/euclid.aos/1236693157


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