Multiple solutions to the likelihood equations in the Behrens-Fisher problem

Mathias Drton

Statistics & Probability Letters, 2008, vol. 78, issue 18, 3288-3293

Abstract: The Behrens-Fisher problem concerns testing the equality of the means of two normal populations with possibly different variances. The null hypothesis in this problem yields a statistical model for which the likelihood function may have more than one local maximum. We show that if the null hypothesis is valid then the probability of multimodality of the likelihood function converges to zero when both sample sizes tend to infinity. Additional results include a finite-sample bound on the probability of multimodality under the null and asymptotics for the probability of multimodality under the alternative.

Date: 2008
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