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协方差选择模型的改进似然比统计量

Improved Likelihood Ratio Statistics for Covariance Selection Models

Biometrika · 1985
被引 3
ABS 4

中文导读

推导了协方差选择模型中似然比统计量的期望值精确到n的负二次方项,并给出Bartlett型修正因子,通过模拟验证其效果。

Abstract

The expected value of the likelihood ratio statistic for covariance selection models, when this statistic has a closed form, is derived correct to terms of order n−2, n being the sample size. Then a Bartlett-type correction factor is available for such statistics. By simulation, the practical use of such a correction factor is illustrated, and is compared with an alternative correction factor in a special case. The null density of the corrected statistic is also considered.

统计学计量经济学协方差选择假设检验