Timeline for Justification for use of $\chi^2(1)$ in Wald and score test
Current License: CC BY-SA 3.0
4 events
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| Jun 9, 2012 at 15:19 | comment | added | StasK | When the regularity conditions are violated, the asy distribution of the LR test statistic is no longer $\chi^2$, as some of the references I gave discuss. It may become a sum of differently weighted $\chi^2$, a sum of $\chi^2$ with different degrees of freedom, or a supremum of a $\chi^2$ process. | |
| Jun 8, 2012 at 10:01 | vote | accept | LeelaSella | ||
| May 28, 2012 at 8:57 | comment | added | LeelaSella | Thank you. Could you expand a little more about what you mean by "$\chi^2$ performance of the likelihood ratio test statistic" ? In this module, the regularity conditions are discussed but not in great detail. I believe the information given in the question (the pdf and the statement about the data collected) imply that the conditions are satisfied. Perhaps I should have just said (bearing in mind that this is all for just 1 mark) "from the pdf definition and data the regularity conditions for asymptotic normality are satisfied" ? | |
| May 27, 2012 at 5:01 | history | answered | StasK | CC BY-SA 3.0 |