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- W2887494898 abstract "In this paper, we study the maximum likelihood estimate of the probability mass function (pmf) of $n$ independent and identically distributed (i.i.d.) random variables, in the non-asymptotic regime. We are interested in characterizing the Neyman--Pearson criterion, i.e., the log-likelihood ratio for testing a true hypothesis within a larger hypothesis. Wilks' theorem states that this ratio behaves like a $chi^2$ random variable in the asymptotic case; however, less is known about the precise behavior of the ratio when the number of samples is finite. In this work, we find an explicit bound for the difference between the cumulative distribution function (cdf) of the log-likelihood ratio and the cdf of a $chi^2$ random variable. Furthermore, we show that this difference vanishes with a rate of order $1/sqrt{n}$ in accordance with Wilks' theorem." @default.
- W2887494898 created "2018-08-22" @default.
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- W2887494898 date "2018-08-17" @default.
- W2887494898 modified "2023-10-01" @default.
- W2887494898 title "Non-Asymptotic Behavior of the Maximum Likelihood Estimate of a Discrete Distribution" @default.
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