Likelihood computations without Bartlett identities
Aslak Mykland, Per
Bernoulli, Tome 7 (2001) no. 6, p. 473-485 / Harvested from Project Euclid
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The signed square root statistic R is given by sgn( \hatθ- θ) ( l( \hatθ) - l( θ) )1/2, where l is the log-likelihood and \hatθ is the maximum likelihood estimator. The pth cumulant of R is typically of the form n-{p/2}kp + O(n-{p+2)/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 alternatives influences the coverage accuracy of R.
Publié le : 2001-06-14
Classification:  Bartlett correction,  convergence of cumulants,  unconditional accuracy 
@article{1080004761,
     author = {Aslak Mykland, Per},
     title = {Likelihood computations without Bartlett identities},
     journal = {Bernoulli},
     volume = {7},
     number = {6},
     year = {2001},
     pages = { 473-485},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1080004761}
}

Aslak Mykland, Per. Likelihood computations without Bartlett identities. Bernoulli, Tome 7 (2001) no. 6, pp.  473-485. http://gdmltest.u-ga.fr/item/1080004761/