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Izvestiya Vysshikh Uchebnykh Zavedenii. Matematika, 2012, Number 12, Pages 72–83
(Mi ivm8760)
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This article is cited in 1 scientific paper (total in 1 paper)
The distribution of the maximum likelihood-ratio statistic used for testing a normal sample for three outliers
L. K. Shiryaeva Chair of Mathematical Statistics and Econometrics, Samara State Economic University, Samara, Russia
Abstract:
We study the exact distribution of the likelihood-ratio statistic used for testing a normal sample for three upper (lower) outliers. We obtain recursive relationships for the integral distribution function of this statistic. We apply the obtained relationships for calculating critical values of the likelihood-ratio statistic which appear to be close to critical values of this statistic simulated by the Monte Carlo method. We give an example of the joint use of the likelihood-ratio statistic for testing a sample for more than one outlier.
Keywords:
outliers, normal distribution, critical values, likelihood-ratio statistic, integral distribution function, testing for three upper (lower) outliers.
Received: 24.10.2011
Citation:
L. K. Shiryaeva, “The distribution of the maximum likelihood-ratio statistic used for testing a normal sample for three outliers”, Izv. Vyssh. Uchebn. Zaved. Mat., 2012, no. 12, 72–83; Russian Math. (Iz. VUZ), 56:12 (2012), 61–70
Linking options:
https://www.mathnet.ru/eng/ivm8760 https://www.mathnet.ru/eng/ivm/y2012/i12/p72
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Abstract page: | 420 | Full-text PDF : | 56 | References: | 56 | First page: | 7 |
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