ON THE LIKEHOOD RATIO
AND THE KULLBACK-LEIBLER
DISTANCE
GONZALO PEREZ IRIBARREN
Centro de Matematicas. Facultad de
Ciencias. Universidad de la Republica.
Montevideo, Uruguay.
ABSTRACT
In this note the LR is seen in the
perspective of the generalized
Kullback-Leibler distance. The
generalized K-L distance permits to
obtain
a
unified vision of the Maximum Likehood
Estimate, mainly in the case of Models,
i.e when the underlying distribution in
the sampling does not correspond to
any parameter value. This is specially
interesting when dealing with dependent
observations, and show some robustness of
the ML method. Likewise the generalized
distance leads to extend to the dependent
case several well-known properties of
the likehood ratio in the independent
case.
If you wish a full copy of this article
please write to:
nmoller@cmat.edu.uy
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