A Note on the Computation of Expansions ofSigned Root Log - Likelihood
نویسنده
چکیده
We show that the log likelihood ratio statistic factors in such a way that the expansion of its square root may be simply computed symbolically by machine. If the parameter of interest, , is scalar, the root of the log likelihood ratio statistic is simply expressed as the product of ^ ? times a scalar expression. The resulting product has a form that permits the symbolic computation of its moments and cu-mulants. These are used in an example to investigate the robustness of inference based on the root log likelihood ratio statistic. This suggests that parameters associated with bounded log-likelihoods with small expected third derivatives lead to more robust inference.
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