- Volume 5, Number 4 (1999), 705-719.
Likelihood ratio tests in contamination models
We study the asymptotic distribution of the likelihood ratio statistic to test whether the contamination of a known density f0 by another density of the same parametric family reduces to f0. The classical asymptotic theory for the likelihood ratio statistic fails, and we propose a general reparametrization which ensures regularity properties. Under the null hypothesis, the likelihood ratio statistic converges to the supremum of a squared truncated Gaussian process. The result is extended to the case of the contamination of a mixture of p known densities by q other densities of the same family.
Bernoulli, Volume 5, Number 4 (1999), 705-719.
First available in Project Euclid: 19 February 2007
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Lemdani, Mohamed; Pons, Odile. Likelihood ratio tests in contamination models. Bernoulli 5 (1999), no. 4, 705--719. https://projecteuclid.org/euclid.bj/1171899325