Abstract
The signed square root statistic R is given by sgn( \hatθ- θ) ( l( \hatθ) - l( θ) )1/2, where l is the log-likelihood and \hatθ is the maximum likelihood estimator. The pth cumulant of R is typically of the form n-{p/2}kp + O(n-{p+2)/2) , where n is the number of observations. This paper shows how to symbolically compute kp without invoking the Bartlett identities. As an application, we show how the family of alternatives influences the coverage accuracy of R.
Citation
Per Aslak Mykland. "Likelihood computations without Bartlett identities." Bernoulli 7 (3) 473 - 485, June 2001.
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