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Biometrika 1985 72(1):97-101; doi:10.1093/biomet/72.1.97
© 1985 by Biometrika Trust
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Improved likelihood ratio statistics for covariance selection models

B. T. PORTEOUS

Statistical Laboratory, University of Cambridge Cambridge CB2 1SB, U.K

The expected value of the likelihood ratio statistic for covariance selection models, when this statistic has a closed form, is derived correct to terms of order n–2, n being the sample size. Then a Bartlett-type correction factor is available for such statistics. By simulation, the practical use of such a correction factor is illustrated, and is compared with an alternative correction factor in a special case. The null density of the corrected statistic is also considered.

Key Words: Bartlett correction factor • Covariance selection • Multivariate normal data


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