most citedOn the Behrens--Fisher problem: A globally convergent algorithm and a finite-sample study of the Wald, LR and LM Tests

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math.ST2008★ 24 cited

On the Behrens--Fisher problem: A globally convergent algorithm and a finite-sample study of the Wald, LR and LM Tests

Alexandre Belloni, Gustavo Didier

In this paper we provide a provably convergent algorithm for the multivariate Gaussian Maximum Likelihood version of the Behrens--Fisher Problem. Our work builds upon a formulation…