Doss's Wilks phenomenon conjecture for concave regression

Assume the regression model holds with Eetϵn,i2<Ee^{t\epsilon_{n,i}^2}<\infty for some t>0t>0. Let r0r_0 be concave, satisfy r0(x0)=y0r_0(x_0)=y_0, be twice continuously differentiable in a neighborhood of x0x_0, and satisfy r0(x0)<0r_0”(x_0)<0. Assume the stated design-density and local-uniform-design conditions hold, and let λn(y0)\lambda_n(y_0) be the likelihood ratio statistic for testing r0(x0)=y0r_0(x_0)=y_0. Doss's Wilks phenomenon conjecture. One has

2logλn(y0)dσ2D,2\log\lambda_n(y_0)\to_d\sigma^2\mathbb D,

where D\mathbb D is a universal random variable, independent of r0r_0 and of the distribution of ϵn,i\epsilon_{n,i}. 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).

Progress summary

Never refreshed

Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.

Solutions 0

No solutions have been posted yet.