The Annals of Statistics

On the Behrens–Fisher problem: A globally convergent algorithm and a finite-sample study of the Wald, LR and LM tests

Alexandre Belloni and Gustavo Didier

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In this paper we provide a provably convergent algorithm for the multivariate Gaussian Maximum Likelihood version of the Behrens–Fisher Problem. Our work builds upon a formulation of the log-likelihood function proposed by Buot and Richards [5]. Instead of focusing on the first order optimality conditions, the algorithm aims directly for the maximization of the log-likelihood function itself to achieve a global solution. Convergence proof and complexity estimates are provided for the algorithm. Computational experiments illustrate the applicability of such methods to high-dimensional data. We also discuss how to extend the proposed methodology to a broader class of problems.

We establish a systematic algebraic relation between the Wald, Likelihood Ratio and Lagrangian Multiplier Test (WLRLM) in the context of the Behrens–Fisher Problem. Moreover, we use our algorithm to computationally investigate the finite-sample size and power of the Wald, Likelihood Ratio and Lagrange Multiplier Tests, which previously were only available through asymptotic results. The methods developed here are applicable to much higher dimensional settings than the ones available in the literature. This allows us to better capture the role of high dimensionality on the actual size and power of the tests for finite samples.

Article information

Ann. Statist. Volume 36, Number 5 (2008), 2377-2408.

First available in Project Euclid: 13 October 2008

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Zentralblatt MATH identifier

Primary: 62H15: Hypothesis testing

Behrens–Fisher Problem high-dimensional data hypothesis testing algorithm Wald Test Likelihood Ratio Test Lagrange Multiplier Test size power


Belloni, Alexandre; Didier, Gustavo. On the Behrens–Fisher problem: A globally convergent algorithm and a finite-sample study of the Wald, LR and LM tests. Ann. Statist. 36 (2008), no. 5, 2377--2408. doi:10.1214/07-AOS528.

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