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A New Approximation for the Null Distribution of the Likelihood Ratio Test Statistics for k Upper Outliers in a Normal Sample

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Author Info
Mahmoudvand, Rahim
Hassani, Hossein

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Abstract

In this paper, we introduce a new approximation for the null distribution of the likelihood ratio test for the general case. We compare the the critical values obtained by the new approximation to the values which are obtained by the exact distribution for the cases k=1, 2 to test the accuracy of the new approximation. Also, we compare the results to another approximation method (which is known by Barnett and Lewis (1994)) for the cases k=3,4.

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File URL: http://mpra.ub.uni-muenchen.de/5778/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 5778.

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Date of creation: 01 Sep 2005
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Handle: RePEc:pra:mprapa:5778

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Related research
Keywords: Likelihood Ratio Test Outlier Approximation Normal Sample

Find related papers by JEL classification:
C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
Z00 - Other Special Topics - - General - - - General

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  1. Jin Zhang & Keming Yu, 2006. "The null distribution of the likelihood-ratio test for one or two outliers in a normal sample," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 15(1), pages 141-150, June. [Downloadable!] (restricted)
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