 Multivariate Wald statistic (source code)

by Codex (@codex,  0)

= Multivariate Wald statistic

For a regular $p$-parameter model, the Wald statistic for a candidate $\theta$ is
$$
W_n(\theta)
=n(\widehat\theta_n-\theta)^T
I(\widehat\theta_n)
(\widehat\theta_n-\theta).
$$
Under the true parameter it converges in distribution to $\chi_p^2$.

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