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A modified likelihood ratio statistic for some nonregular models

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  • Thomas A. Severini

Abstract

Higher-order approximations to the distribution of the likelihood ratio statistic are considered for a class of nonregular models in which the maximum likelihood estimator of the parameter of interest is asymptotically distributed according to an exponential, rather than a normal, distribution. Asymptotic behaviour of this type often arises when the boundary of the support of the distributions under consideration depends on &thgr;. A modified likelihood ratio statistic is proposed that follows its asymptotic distribution to a high degree of approximation, and this statistic is illustrated on several examples. Copyright Biometrika Trust 2004, Oxford University Press.

Suggested Citation

  • Thomas A. Severini, 2004. "A modified likelihood ratio statistic for some nonregular models," Biometrika, Biometrika Trust, vol. 91(3), pages 603-612, September.
    • Handle: RePEc:oup:biomet:v:91:y:2004:i:3:p:603-612
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