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On the Behrens-Fisher Problem: A globally convergent algorithm and a finite-sample study of the wald, LR and LM tests

Publication ,  Journal Article
Belloni, A; Didier, G
Published in: Annals of Statistics
October 1, 2008

In this paper we provide a provably convergent algorithm for the multivariate Gaussian Maximum Likelihood version of the Behrens-Fisher Problem. Our work builds upon a formulation of the log-likelihood function proposed by Buot and Richards [5]. Instead of focusing on the first order optimality conditions, the algorithm aims directly for the maximization of the log-likelihood function itself to achieve a global solution. Convergence proof and complexity estimates are provided for the algorithm. Computational experiments illustrate the applicability of such methods to high-dimensional data. We also discuss how to extend the proposed methodology to a broader class of problems. We establish a systematic algebraic relation between the Wald, Likelihood Ratio and Lagrangian Multiplier Test (W ≥ LR ≥ LM) in the context of the Behrens-Fisher Problem. Moreover, we use our algorithm to computationally investigate the finite-sample size and power of the Wald, Likelihood Ratio and Lagrange Multiplier Tests, which previously were only available through asymptotic results. The methods developed here are applicable to much higher dimensional settings than the ones available in the literature. This allows us to better capture the role of high dimensionality on the actual size and power of the tests for finite samples. © Institute of Mathematical Statistics, 2008.

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Published In

Annals of Statistics

DOI

ISSN

0090-5364

Publication Date

October 1, 2008

Volume

36

Issue

5

Start / End Page

2377 / 2408

Related Subject Headings

  • Statistics & Probability
  • 4905 Statistics
  • 3802 Econometrics
  • 1403 Econometrics
  • 0104 Statistics
  • 0102 Applied Mathematics
 

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Belloni, A., & Didier, G. (2008). On the Behrens-Fisher Problem: A globally convergent algorithm and a finite-sample study of the wald, LR and LM tests. Annals of Statistics, 36(5), 2377–2408. https://doi.org/10.1214/07-AOS528
Belloni, A., and G. Didier. “On the Behrens-Fisher Problem: A globally convergent algorithm and a finite-sample study of the wald, LR and LM tests.” Annals of Statistics 36, no. 5 (October 1, 2008): 2377–2408. https://doi.org/10.1214/07-AOS528.
Belloni, A., and G. Didier. “On the Behrens-Fisher Problem: A globally convergent algorithm and a finite-sample study of the wald, LR and LM tests.” Annals of Statistics, vol. 36, no. 5, Oct. 2008, pp. 2377–408. Scopus, doi:10.1214/07-AOS528.

Published In

Annals of Statistics

DOI

ISSN

0090-5364

Publication Date

October 1, 2008

Volume

36

Issue

5

Start / End Page

2377 / 2408

Related Subject Headings

  • Statistics & Probability
  • 4905 Statistics
  • 3802 Econometrics
  • 1403 Econometrics
  • 0104 Statistics
  • 0102 Applied Mathematics