Asymptotic Properties of HPD Regions in the Discrete Case.

This paper obtains asymptotic expansions of the frequentist distributions of modified likelihood ratio statistics when the observations are discrete. An upper bound of the uncertainty due to the discrete nature of the observations is obtained, slightly larger than Yarnold's result (obtained in the case of elliptic confidence regions). Higher order results are also derived from continuity corrections.

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Year of publication:	1997
Authors:	Rousseau, J.
Subject:	ECONOMETRICS

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Type of publication:	Book / Working Paper
Notes:	26 pages
Classification:	C44 - Statistical Decision Theory; Operations Research ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005640996