Abstract
Let F 1,...,F J be the distributions of J independent multiparameter exponential families, and ϱ J (F 1,...,F J ) denote the affinity between F 1,...,F J . We consider the problem of estimating ϱ J on the basis of independent random samples from these distributions. Subject to some mild regularity conditions, we derive the asymptotic distribution of the maximum likelihood estimator of ϱ J . Applications to hypothesis testing and discriminant analysis are discussed, and an example is provided.
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Garren, S.T. Asymptotic Distribution of Estimated Affinity between Multiparameter Exponential Families. Annals of the Institute of Statistical Mathematics 52, 426–437 (2000). https://doi.org/10.1023/A:1004100931499
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DOI: https://doi.org/10.1023/A:1004100931499