Abstract
Likelihood ratio tests are intuitively appealing. Nevertheless, a number of examples are known in which they perform very poorly. The present paper discusses a large class of situations in which this is the case, and analyzes just how intuition misleads us; it also presents an alternative approach which in these situations is optimal.
Information
Published: 1 January 2006
First available in Project Euclid: 28 November 2007
zbMATH: 1268.62023
MathSciNet: MR2337826
Digital Object Identifier: 10.1214/074921706000000356
Subjects:
Primary:
62F03
,
62N05
Secondary:
60J65
Keywords:
average likelihood
,
Invariance
,
likelihood ratio tests
Rights: Copyright © 2006, Institute of Mathematical Statistics
