A Decomposition for the Likelihood Ratio Statistic and the Bartlett Correction--A Bayesian Argument
Bickel, Peter J. ; Ghosh, J. K.
Ann. Statist., Tome 18 (1990) no. 1, p. 1070-1090 / Harvested from Project Euclid
Let $l(\theta) = n^{-1} \log p(x, \theta)$ be the log likelihood of an $n$-dimensional $X$ under a $p$-dimensional $\theta$. Let $\hat{\theta}_j$ be the mle under $H_j: \theta^1 = \theta^1_0, \ldots, \theta^j = \theta^j_0$ and $\hat{\theta}_0$ be the unrestricted mle. Define $T_j$ as $\lbrack 2n\{l(\hat{\theta}_{j - 1}) - l(\hat{\theta}_j)\}\rbrack^{1/2} \operatorname{sgn}(\hat{\theta}^j_{j - 1} - \theta^j_0).$ Let $T = (T_1, \ldots, T_p)$. Then under regularity conditions, the following theorem is proved: Under $\theta = \theta_0, T$ is asymptotically $N(n^{-1/2}a_0 + n^{-1}a, J + n^{-1}\sum) + O(n^{-3/2})$ where $J$ is the identity matrix. The result is proved by first establishing an analogous result when $\theta$ is random and then making the prior converge to a degenerate distribution. The existence of the Bartlett correction to order $n^{-3/2}$ follows from the theorem. We show that an Edgeworth expansion with error $O(n^{-2})$ for $T$ involves only polynomials of degree less than or equal to 3 and hence verify rigorously Lawley's (1956) result giving the order of the error in the Bartlett correction as $O(n^{-2})$.
Publié le : 1990-09-14
Classification:  Bartlett correction,  signed log likelihood ratio statistic,  Bernstein-von Mises theorem,  62F05,  62F15
@article{1176347740,
     author = {Bickel, Peter J. and Ghosh, J. K.},
     title = {A Decomposition for the Likelihood Ratio Statistic and the Bartlett Correction--A Bayesian Argument},
     journal = {Ann. Statist.},
     volume = {18},
     number = {1},
     year = {1990},
     pages = { 1070-1090},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347740}
}
Bickel, Peter J.; Ghosh, J. K. A Decomposition for the Likelihood Ratio Statistic and the Bartlett Correction--A Bayesian Argument. Ann. Statist., Tome 18 (1990) no. 1, pp.  1070-1090. http://gdmltest.u-ga.fr/item/1176347740/