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Tests and Confidence Intervals for an Extended Variance Component Using the Modified Likelihood Ratio Statistic

by Ole F. Christensen, Morten Frydenberg, Jens Ledet Jensen and Jørgen Granfeldt Pedersen
Research Reports Number 454 (February 2005)
The large deviation modified likelihood ratio statistic is studied for testing a variance component equal to a specified value. Formulas are presented in the general balanced case, whereas in the unbalanced case only the one-way random effects model is studied. Simulation studies are presented, showing that the normal approximation to the large deviation modified likelihood ratio statistic gives confidence intervals for variance components with coverage probabilities very close to the nominal confidence coefficient.
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