Bartlett identities and large deviations in likelihood theory

• 成果类型: Article
• 署名作者: Mykland, PA
• 署名单位: University of Chicago
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1018031270
• 发表日期: 1999
• 页码: 1105-1117
• 关键词: empirical likelihood; quasi-likelihood; r-asterisk; ratio; probabilities; adjustments; inference; estimator; models

摘要

The connection between large and small deviation results for the signed square root statistic R is studied, both for likelihoods and for likelihood-like criterion functions. We show that if p - 1 Barlett identities are satisfied to first order, but the pth identity is violated to this order, then cum,(R) = O(n(-q/2)) for 3 less than or equal to q < p, whereas cum(p)(R) = kappa(P)n(-(p-2)/2) + O(n(-p/2)). We also show that the large deviation behavior of R is determined by the values of p and kappa(p). The latter result is also valid for more general statistics. Affine (additive and/or multiplicative) correction to R and R-2 are special cases corresponding to p = 3 and 4. The cumulant behavior of R gives a way of characterizing the extent to which R-statistics derived from criterion functions other than log likelihoods can be expected to behave like ones derived from true log likelihoods, by looking at the number of Bartlett identities that are satisfied. Empirical and nonparametric survival analysis type likelihoods are analyzed from this perspective via the device of dual criterion functions.