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

M. S. Srivastava and Wai Kwok Yau

Journal of Multivariate Analysis, 1989, vol. 31, issue 1, 117-126

Abstract: 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.

Keywords: Wilks'; likelihood; ratio; criterion; MANOVA; beta; distribution; tail; probability; asymptotic; expansion; conjugate; density; Edgeworth; expansions; saddlepoint; approximations (search for similar items in EconPapers)
Date: 1989
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