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- W2077075438 abstract "We consider multidimensional M-functional parameters defined by expectations of score functions associated with multivariate M-estimators and tests for hypotheses concerning multidimensional smooth functions of these parameters. We propose a test statistic suggested by the exponent in the saddlepoint approximation to the density of the function of the M-estimates. This statistic is analogous to the log likelihood ratio in the parametric case. We show that this statistic is approximately distributed as a chi-squared variate and obtain a Lugannani-Rice style adjustment giving a relative error of order $n^{-1}$. We propose an empirical exponential likelihood statistic and consider a test based on this statistic. Finally we present numerical results for three examples including one in robust regression." @default.
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- W2077075438 date "2003-08-01" @default.
- W2077075438 modified "2023-10-18" @default.
- W2077075438 title "Saddlepoint approximations and tests based on multivariate M-estimates" @default.
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- W2077075438 doi "https://doi.org/10.1214/aos/1059655909" @default.
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