On the Distribution of the Likelihood Ratio

Abstract

In an investigation of the distribution of the likelihood ratio $\lambda$, Wilks [3] proved, under certain regularity conditions, that $-2 \ln \lambda$ is, except for terms of order $1/\sqrt n$, distributed like $\chi^2$ with $k - m$ degrees of freedom, where $k$ is the dimension of the parameter space $\Omega$ of admissible hypotheses and $m$ is the dimension of the parameter space $\omega$ of null hypotheses. In this paper, we consider the nonregular densities investigated by R. C. Davis [1] and show that for certain hypotheses $-2 \ln \lambda$ has an exact $\chi^2$-distribution with $2(k - m)$ degrees of freedom.