The Annals of Statistics

Likelihood and Observed Geometries

O. E. Barndorff-Nielsen

Full-text: Open access

Abstract

In the differential geometric approach to parametric statistics, developed by Chentsov, Efron, Amari, and others, the parameter space is set up as a differentiable manifold with expected information as metric tensor and with a family of affine connections, the a-connections, determined from the expected information and the skewness tensor of the score vector. The usefulness of this approach is particularly notable in connection with Edgeworth expansions of estimators. Motivated by the conditionality viewpoint, an "observed" parallel to that theory is established in the present paper using obseved information and an "observed skewness" tensor instead of the above expected quantities. The formula $c\|\overset{hat}{j}\|^{1/2}\overset{-}{L}$ for the conditional distribution of the maximum likelihood estimator is expanded (to third order) asymptotically and the "observed geometries" are shown to have a role in this type of expansion similar to that of the "expected geometries" in the Edgeworth expansions mentioned above. In these new developments "mixed derivatives of the log model function," defined by means of an auxiliary statistic complementing the maximum likelihood estimator, take the place of moments of derivatives of the log likelihood function.

Article information

Source
Ann. Statist., Volume 14, Number 3 (1986), 856-873.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176350038

Digital Object Identifier
doi:10.1214/aos/1176350038

Mathematical Reviews number (MathSciNet)
MR856794

Zentralblatt MATH identifier
0632.62028

JSTOR
links.jstor.org

Subjects
Primary: 62F99: None of the above, but in this section
Secondary: 62A10

Keywords
Alpha connections ancillarity asymptotic expansion Bartlett factors conditionality constant normal fractile covariant differentiation exponential model hyperboloid model inverse Gaussian-Gaussian model location-scale model maximum likelihood observed information tensors

Citation

Barndorff-Nielsen, O. E. Likelihood and Observed Geometries. Ann. Statist. 14 (1986), no. 3, 856--873. doi:10.1214/aos/1176350038. https://projecteuclid.org/euclid.aos/1176350038


Export citation