Saddlepoint approximations for likelihood ratio like statistics with applications to permutation tests

Details Saddlepoint approximations for likelihood ratio like statistics with applications to permutation tests Saddlepoint approximations for likelihood ratio like statistics with applications to permutation tests

2012-03-14

arxiv.org/abs/1203.3106v1

Annals of Statistics 2011, Vol. 39, No. 6, 3357-3368

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/11-AOS945 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/11-AOS945

We obtain two theorems extending the use of a saddlepoint approximation to multiparameter problems for likelihood ratio-like statistics which allow their use in permutation and rank tests and could be used in bootstrap approximations. In the first, we show that in some cases when no density exists, the integral of the formal saddlepoint density over the set corresponding to large values of the likelihood ratio-like statistic approximates the true probability with relative error of order $1/n$. In the second, we give multivariate generalizations of the Lugannani--Rice and Barndorff-Nielsen or $r^*$ formulas for the approximations. These theorems are applied to obtain permutation tests based on the likelihood ratio-like statistics for the $k$ sample and the multivariate two-sample cases. Numerical examples are given to illustrate the high degree of accuracy, and these statistics are compared to the classical statistics in both cases.

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