Doss's Wilks phenomenon conjecture for concave regression
Doss's Wilks phenomenon conjecture for concave regression
Assume the regression model holds with for some . Let be concave, satisfy , be twice continuously differentiable in a neighborhood of , and satisfy . Assume the stated design-density and local-uniform-design conditions hold, and let be the likelihood ratio statistic for testing . Doss's Wilks phenomenon conjecture. One has
where is a universal random variable, independent of and of the distribution of . This conjectures a universal, nuisance-parameter-free limit distribution, extending Wilks-type phenomena to concave regression; the source records analogous results in related shape-constrained models but does not establish this claim.
Sources & referencesView supporting material
Primary source
Charles R. Doss, “Concave regression: value-constrained estimation and likelihood ratio-based inference”, arXiv:1805.09873 (2018).
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