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Quantitative Finance · Begrippenlijst

Wat is Likelihood-ratio test?

Definition 12.4 Quantitative Methods · Hoofdstuk 12 — Testing and Multiple Testing

The likelihood-ratio test of a null that imposes rr restrictions on θ\theta rejects for large LR=2(ℓ(θ^)−ℓ(θ^0))\mathrm{LR} = 2\bigl(\ell(\hat\theta) - \ell(\hat\theta_0)\bigr), where ℓ\ell is the log-likelihood, θ^\hat\theta its maximiser and θ^0\hat\theta_0 its maximiser under the restrictions.

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