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Transformations with Improved Chi-Squared Approximations

โœ Scribed by Yasunori Fujikoshi


Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
157 KB
Volume
72
Category
Article
ISSN
0047-259X

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โœฆ Synopsis


Suppose that a nonnegative statistic T is asymptotically distributed as a chisquared distribution with f degrees of freedom, / 2 f , as a positive number n tends to infinity. Bartlett correction T was originally proposed so that its mean is coincident with the one of / 2 f up to the order O(n &1 ). For log-likelihood ratio statistics, many authors have shown that the Bartlett corrections are asymptotically distributed as / 2 f up to O(n &1 ), or with errors of terms of O(n &2 ). Bartlett-type corrections are an extension of Bartlett corrections to other statistics than log-likelihood ratio statistics. These corrections have been constructed by using their asymptotic expansions up to O(n &1 ). The purpose of the present paper is to propose some monotone transformations so that the first two moments of transformed statistics are coincident with the ones of / 2 f up to O(n &1 ). It may be noted that the proposed transformations can be applied to a wide class of statistics whether their asymptotic expansions are available or not. A numerical study of some test statistics that are not a log-likelihood ratio statistic is discribed. It is shown that the proposed transformations of these statistics give a larger improvement to the chi-squared approximation than do the Bartlett corrections. Further, it is seen that the proposed approximations are comparable with the approximation based on an Edgeworth expansion.


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