p-Value Formulas from Likelihood Asymptotics Bridging the Singularities
D.A.S. Fraser, N. Reid, R. Li and A. Wong (2003). p-Value Formulas from Likelihood Asymptotics Bridging the Singularities. Journal of Statistical Research, Vol. 37, No. 1, pp. 1-15.
Recent likelihood asymptotics has produced highly accurate p-values for many very general contexts. The terminal formulas for producing these p-values can however have serious singularities in the neighbourhood of the maximum likeli- hood value. The singularities near the maximum likelihood value are downstream versions of those addressed by Daniels (1987) for the scalar saddlepoint context; he provided an approximate value at the singularity which involved a standard- ized third order cumulant. For a general statistical context we develop a third order bridge for the p-value formula at the maximum likelihood singularity in the case with no nuisance parameters, and a second order bridge at the singularity for the case with nuisance parameters. We also develop a third order graphical procedure for bridging the singularities; it handles both the cases without and with nuisance parameters.
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