2.II.27I
Part II, 2007
(i) State Wilks' likelihood ratio test of the null hypothesis against the alternative , where . Explain when this test may be used.
(ii) Independent identically-distributed observations take values in the set , with common distribution which under the null hypothesis is of the form
for some , where is an open subset of some Euclidean space , . Under the alternative hypothesis, the probability mass function of the is unrestricted.
Assuming sufficient regularity conditions on to guarantee the existence and uniqueness of a maximum-likelihood estimator of for each , show that for large the Wilks' likelihood ratio test statistic is approximately of the form
where , and . What is the asymptotic distribution of this statistic?