A parameterisation-invariant modification of the score test

P. E. Jupp

doi:10.1007/s41884-023-00101-4

A parameterisation-invariant modification of the score test

P. E. Jupp^*

^*Corresponding author for this work

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Research output: Contribution to journal › Special issue › peer-review

Abstract

The null distribution of the score test statistic is asymptotically chi-squared for large samples. The error in this approximation is improved greatly by a cubic modification. The coefficients of this cubic that are given in the literature depend on the parameterisation. This paper provides parameterisation-invariant versions of the coefficients, expresses them in terms of appropriate tensors, and provides geometric interpretations.

Original language	English
Pages (from-to)	429-439
Number of pages	11
Journal	Information Geometry
Volume	7
Early online date	7 Mar 2023
DOIs	https://doi.org/10.1007/s41884-023-00101-4
Publication status	Published - 1 Jan 2024

Keywords

Bartlett correction
Generalised Bartlett correction
Interest parameter
Invariant Taylor expansion
Large-sample asymptotics
Likelihood yoke
Tensor

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10.1007/s41884-023-00101-4Licence: CC BY

Jupp_2023_IE_Parameterisation-invariant_CC
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Cite this

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AB - The null distribution of the score test statistic is asymptotically chi-squared for large samples. The error in this approximation is improved greatly by a cubic modification. The coefficients of this cubic that are given in the literature depend on the parameterisation. This paper provides parameterisation-invariant versions of the coefficients, expresses them in terms of appropriate tensors, and provides geometric interpretations.

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KW - Generalised Bartlett correction

KW - Interest parameter

KW - Invariant Taylor expansion

KW - Large-sample asymptotics

KW - Likelihood yoke

KW - Tensor

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JO - Information Geometry

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A parameterisation-invariant modification of the score test

Abstract

Keywords

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