Saddlepoint method for obtaining tail probability of Wilks' likelihood ratio test

Using the saddlepoint method, two explicit approximation formulae are given for the tail probability of Wilks' likelihood ratio criterion. A comparison with the exact probability shows that these approximations are very good even for small error degrees of freedom. A comparison with the asymptotic expansion obtained by Box (1949, Biometrika 36 317-346) is also given.

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Year of publication:	1989
Authors:	Srivastava, M. S. ; Yau, Wai Kwok
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 31.1989, 1, p. 117-126
Publisher:	Elsevier
Keywords:	Wilks' likelihood ratio criterion MANOVA beta distribution tail probability asymptotic expansion conjugate density Edgeworth expansions saddlepoint approximations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160599