A Loss Function Approach to Model Specification Testing and Its Relative Efficiency

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	A Loss Function Approach to Model Specification Testing and Its Relative Efficiency
	Yongmiao Hong ; Yoon-Jin Lee
刊名	http://www.wise.xmu.edu.cn/paperInfor.asp?id=293
	2013-11-08
关键词	Efficiency generalized likelihood ratio test loss function local alternative kernel Pitman efficiency smoothing parameter
英文摘要	The generalized likelihood ratio (GLR) test proposed by Fan, Zhang and Zhang [Ann. Statist. 29 (2001) 153–193] and Fan and Yao [Nonlinear Time Series: Nonparametric and Parametric Methods (2003) Springer] is a generally applicable nonparametric inference procedure. In this paper, we show that although it inherits many advantages of the parametric maximum likelihood ratio (LR) test, the GLR test does not have the optimal power property. We propose a generally applicable test based on loss functions, which measure discrepancies between the null and nonparametric alternative models and are more relevant to decision-making under uncertainty. The new test is asymptotically more powerful than the GLR test in terms of Pitman’s efficiency criterion. This efficiency gain holds no matter what smoothing parameter and kernel function are used and even when the true likelihood function is available for the GLR test.; This paper is published in Annals of Statistics, Volume 41, Number 3 (2013), 1166-1203.
语种	中文
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/56905]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Yongmiao Hong,Yoon-Jin Lee . A Loss Function Approach to Model Specification Testing and Its Relative Efficiency[J]. http://www.wise.xmu.edu.cn/paperInfor.asp?id=293,2013.
APA	Yongmiao Hong,&Yoon-Jin Lee .(2013).A Loss Function Approach to Model Specification Testing and Its Relative Efficiency.http://www.wise.xmu.edu.cn/paperInfor.asp?id=293.
MLA	Yongmiao Hong,et al."A Loss Function Approach to Model Specification Testing and Its Relative Efficiency".http://www.wise.xmu.edu.cn/paperInfor.asp?id=293 (2013).