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.

Likelihood Asymptotics in Nonregular Settings. A Review with Emphasis on the Likelihood Ratio

2018

Abstract

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.
File in questo prodotto:
File Dimensione Formato  
WorkingPaper_18.4.pdf

accesso aperto

Licenza: Non specificato
Dimensione 737.32 kB
Formato Adobe PDF
737.32 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/3442381
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact