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Brazzale , Alessandra R. and Valentina , Mameli (2018) Likelihood Asymptotics in Nonregular Settings. A Review with Emphasis on the Likelihood Ratio. [Working Paper] WORKING PAPER SERIES, 4/2018 . , PADOVA

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Abstract (english)

We review the most common situations where one or some of the regularity conditions which underlie likelihood based parametric inference fail. Three main classes of problems will be treated: boundary problems, indeterminate parameters and singular information matrices, and change-point problems. The review is focused on the large- and small-sample properties of the likelihood ratio, though other approaches to hypothesis testing and connections to estimation will be mentioned in passing.

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EPrint type:Working Paper
Anno di Pubblicazione:11 September 2018
Key Words:boundary point, change-point, finite mixture, first and higher order theory, identifiability, large- and small -sample inference, singular information
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:11306
Depositato il:11 Sep 2018 11:03
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