Paper 1, Section II, J

Statistical Modelling
Part II, 2010

Consider a generalised linear model with parameter β\beta^{\top} partitioned as (β0,β1)\left(\beta_{0}^{\top}, \beta_{1}^{\top}\right), where β0\beta_{0} has p0p_{0} components and β1\beta_{1} has pp0p-p_{0} components, and consider testing H0:β1=0H_{0}: \beta_{1}=0 against H1:β10H_{1}: \beta_{1} \neq 0. Define carefully the deviance, and use it to construct a test for H0H_{0}.

[You may use Wilks' theorem to justify this test, and you may also assume that the dispersion parameter is known.]

Now consider the generalised linear model with Poisson responses and the canonical link function with linear predictor η=(η1,,ηn)T\eta=\left(\eta_{1}, \ldots, \eta_{n}\right)^{T} given by ηi=xiβ,i=1,,n\eta_{i}=x_{i}^{\top} \beta, i=1, \ldots, n, where xi1=1x_{i 1}=1 for every ii. Derive the deviance for this model, and argue that it may be approximated by Pearson's χ2\chi^{2} statistic.