TY - JOUR
T1 - A refinement to approximate conditional inference
AU - Yang, Bo
AU - Kolassa, John E.
N1 - Funding Information:
This research was supported in part by Grant NSF DMS 0092659. The authors thank the editor and an anonymous referee for many helpful comments.
PY - 2005/4/15
Y1 - 2005/4/15
N2 - This manuscript considers inference on a single parameter in a multivariate canonical exponential family, where the effect of nuisance parameters on the p-value is mitigated by conditioning on the event that the sufficient statistics associated with the nuisance parameters lie in a neighborhood about the observed value. This manuscript has three aims. First, we provide a method for approximating p-values using approximate conditioning that is more accurate than that presented by Pierce and Peters (Biometrika 86(1999) 265-277), at the price of greater computational difficulty. Second, we examine the sensitivity of approximate conditioning methods to the values of the nuisance parameters. Third, we describe a method for presenting a valid approximate-conditioning observed significance level accounting for this dependence on the nuisance parameters.
AB - This manuscript considers inference on a single parameter in a multivariate canonical exponential family, where the effect of nuisance parameters on the p-value is mitigated by conditioning on the event that the sufficient statistics associated with the nuisance parameters lie in a neighborhood about the observed value. This manuscript has three aims. First, we provide a method for approximating p-values using approximate conditioning that is more accurate than that presented by Pierce and Peters (Biometrika 86(1999) 265-277), at the price of greater computational difficulty. Second, we examine the sensitivity of approximate conditioning methods to the values of the nuisance parameters. Third, we describe a method for presenting a valid approximate-conditioning observed significance level accounting for this dependence on the nuisance parameters.
KW - Approximate conditional inference
KW - Saddlepoint approximation
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U2 - 10.1016/j.spl.2004.12.006
DO - 10.1016/j.spl.2004.12.006
M3 - Article
AN - SCOPUS:15844415260
SN - 0167-7152
VL - 72
SP - 103
EP - 112
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
IS - 2
ER -