A parameterisation-invariant modification of the score test
Abstract
The null distribution of the score test statistic is asymptotically chi-squared for large samples. The error in this approximation is improved greatly by a cubic modification. The coefficients of this cubic that are given in the literature depend on the parameterisation. This paper provides parameterisation-invariant versions of the coefficients, expresses them in terms of appropriate tensors, and provides geometric interpretations.
Citation
Jupp , P E 2024 , ' A parameterisation-invariant modification of the score test ' , Information Geometry , vol. 7 , pp. 429-439 . https://doi.org/10.1007/s41884-023-00101-4
Publication
Information Geometry
Status
Peer reviewed
ISSN
2511-2481Type
Journal item
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