On the Distribution of the Likelihood Ratio
Hogg, Robert V.
Ann. Math. Statist., Tome 27 (1956) no. 4, p. 529-532 / Harvested from Project Euclid
In an investigation of the distribution of the likelihood ratio $\lambda$, Wilks [3] proved, under certain regularity conditions, that $-2 \ln \lambda$ is, except for terms of order $1/\sqrt n$, distributed like $\chi^2$ with $k - m$ degrees of freedom, where $k$ is the dimension of the parameter space $\Omega$ of admissible hypotheses and $m$ is the dimension of the parameter space $\omega$ of null hypotheses. In this paper, we consider the nonregular densities investigated by R. C. Davis [1] and show that for certain hypotheses $-2 \ln \lambda$ has an exact $\chi^2$-distribution with $2(k - m)$ degrees of freedom.
Publié le : 1956-06-14
Classification: 
@article{1177728276,
     author = {Hogg, Robert V.},
     title = {On the Distribution of the Likelihood Ratio},
     journal = {Ann. Math. Statist.},
     volume = {27},
     number = {4},
     year = {1956},
     pages = { 529-532},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177728276}
}
Hogg, Robert V. On the Distribution of the Likelihood Ratio. Ann. Math. Statist., Tome 27 (1956) no. 4, pp.  529-532. http://gdmltest.u-ga.fr/item/1177728276/