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316559

A Note on the Wald, Lagrangian Multiplier and Likelihood Ratio Tests when the Information Matrix is Singular

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Last updated: 05 Jan 2025

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Abstract

Modified formulas for the Wald and Lagrangian multiplier statistics are introduced and considered together with the likelihood ratio statistic for testing a typical null hypothesis Ho stated in terms of equality constraints. It is demonstrated, subject to known standard regularity conditions, that each of these statistics and the known Wald statistic has the asymptotic chi-square distribution with degrees of freedom equal to the number of equality constraints specified by Ho whether the information matrix is singular or nonsingular. The results of this paper include a generalization of the results of Silvey (1959) concerning the equivalence of the Wald, Lagrange multiplier and likelihood ratio tests to the case of singular information matrices. A numerical example, using the data of the multinomial experiment given in Example 3 of Aitchison and Silvey (1960), is given to compare the obtained values of our modified test statistics with the corresponding values of the test statistics obtained in that reference of Aitchison and Sivley.

DOI

10.21608/esju.1988.316559

Keywords

Likelihood Estimation Subject to Equality Constraints, Wald Test, Lagrangian Multiplier Test, Likelihood ratio test, Modified Wald and Lagrangian Multiplier Statistics, Equivalence of Tests

Authors

First Name

Abdalla

Last Name

El-Helbawy

MiddleName

T.

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Orcid

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First Name

Tawfik

Last Name

Hassan

MiddleName

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Affiliation

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City

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Orcid

-

Volume

32

Article Issue

2

Related Issue

43398

Issue Date

1988-12-01

Receive Date

2023-09-07

Publish Date

1988-12-01

Page Start

135

Page End

152

Print ISSN

0542-1748

Online ISSN

2786-0086

Link

https://esju.journals.ekb.eg/article_316559.html

Detail API

https://esju.journals.ekb.eg/service?article_code=316559

Order

5

Type

Original Article

Type Code

1,914

Publication Type

Journal

Publication Title

The Egyptian Statistical Journal

Publication Link

https://esju.journals.ekb.eg/

MainTitle

A Note on the Wald, Lagrangian Multiplier and Likelihood Ratio Tests when the Information Matrix is Singular

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Article

Created At

28 Dec 2024