Likelihood Computations without Bartlett Identities
نویسندگان
چکیده
منابع مشابه
Likelihood computations without Bartlett identities
The signed square root statistic R is given by sgn(è̂ÿ è)(l(è̂)ÿ l(è)), where l is the log-likelihood and è̂ is the maximum likelihood estimator. The pth cumulant of R is typically of the form nÿ p=2 kp O(nÿ( p2)=2), where n is the number of observations. This paper shows how to symbolically compute kp without invoking the Bartlett identities. As an application, we show how the family of altern...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2001
ISSN: 1350-7265
DOI: 10.2307/3318497