Mathematics – Statistics Theory
Scientific paper
2007-11-22
Annals of Statistics 2007, Vol. 35, No. 5, 2054-2074
Mathematics
Statistics Theory
Published in at http://dx.doi.org/10.1214/009053607000000307 the Annals of Statistics (http://www.imstat.org/aos/) by the Inst
Scientific paper
10.1214/009053607000000307
Approximations to the modified signed likelihood ratio statistic are asymptotically standard normal with error of order $n^{-1}$, where $n$ is the sample size. Proofs of this fact generally require that the sufficient statistic of the model be written as $(\hat{\theta},a)$, where $\hat{\theta}$ is the maximum likelihood estimator of the parameter $\theta$ of the model and $a$ is an ancillary statistic. This condition is very difficult or impossible to verify for many models. However, calculation of the statistics themselves does not require this condition. The goal of this paper is to provide conditions under which these statistics are asymptotically normally distributed to order $n^{-1}$ without making any assumption about the sufficient statistic of the model.
He Heping
Severini Thomas A.
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