Improved Gradient Statistic in Heteroskedastic Generalized Linear Models

Fabiana U. U. Barros,Denise A. A. Botter,Monica C. Sandoval,Tiago M. M. Magalhaes

Statistical computation and simulation/Journal of statistical computation and simulation（2023）

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Abstract

In this paper, we obtain the Bartlett-type correction factor for the gradient test statistic in heteroskedastic generalized linear models (HGLMs). We present an extensive Monte Carlo study to evaluate the performance of the corrected gradient test in small sample sizes. We also compare its performance with the usual gradient, likelihood ratio (LR), score, Wald, improved LR and improved score statistics along with bootstrap tests.

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Key words

Gradient test,heteroskedastic generalized linear models,maximum likelihood estimators

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