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Saddlepoint method for obtaining tail probability of Wilks' likelihood ratio test

Author

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  • Srivastava, M. S.
  • Yau, Wai Kwok

Abstract

Using the saddlepoint method, two explicit approximation formulae are given for the tail probability of Wilks' likelihood ratio criterion. A comparison with the exact probability shows that these approximations are very good even for small error degrees of freedom. A comparison with the asymptotic expansion obtained by Box (1949, Biometrika 36 317-346) is also given.

Suggested Citation

  • Srivastava, M. S. & Yau, Wai Kwok, 1989. "Saddlepoint method for obtaining tail probability of Wilks' likelihood ratio test," Journal of Multivariate Analysis, Elsevier, vol. 31(1), pages 117-126, October.
    • Handle: RePEc:eee:jmvana:v:31:y:1989:i:1:p:117-126
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    Cited by:

    1. Martin Biehler & Heinz Holling & Philipp Doebler, 2015. "Saddlepoint Approximations of the Distribution of the Person Parameter in the Two Parameter Logistic Model," Psychometrika, Springer;The Psychometric Society, vol. 80(3), pages 665-688, September.

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