Accession Number : ADA321081
Title : Likelihood Computations without Bartlett Identities.
Descriptive Note : Technical rept.,
Corporate Author : CHICAGO UNIV IL DEPT OF STATISTICS
Personal Author(s) : Mykland, Per A.
PDF Url : ADA321081
Report Date : DEC 1996
Pagination or Media Count : 18
Abstract : The signed square root statistic R typically has cumulants on the form cum(p)(R) = theta(2,p) + n(-p/2)Kp + O(n(-(p+2)/2)). This paper shows how to compute Kp without invoking the Bartlett identities. As an application, we show how the family of alternatives influences the coverage accuracy of R, and in particular that a bad choice of family can lead to arbitrary undercoverage for confidence intervals based on R.
Descriptors : *MAXIMUM LIKELIHOOD ESTIMATION, *CONFIDENCE LIMITS, ACCURACY, APPROXIMATION(MATHEMATICS), ORDER STATISTICS, NORMAL DISTRIBUTION.
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE