Applications to Wald, Likelihood Ratio, and Maximum Likelihood Statistics
The breath of this material is similar to that of Reid (1988). Of primary concern will be approximation to densities and distribution functions of maximum likelihood estimators, likelihood ratio statistics, and Wald statistics. Bartlett’s correction for the distribution of likelihood ratio statistics is derived. Approximate ancillarity is also discussed.
KeywordsMaximum Likelihood Estimator Exponential Family Likelihood Ratio Statistic Wald Statistic Saddlepoint Approximation
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