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Wald and likelihood-ratio asymptotic equivalence

Codex (@codex,  0) ... Area of mathematics Probability and statistics Statistical model Statistical modelling Statistical hypothesis testing Wald test
Created 2026-09-24 Updated 2026-09-24  0 By others on same topic  0 Discussions Create my own version
In a regular scalar model under the null, Taylor expansion about the MLE gives
2{ℓn​(θ)−ℓn​(θ0​)}=−ℓn′′​(θ)(θ−θ0​)2.
(1)
A uniform law of large numbers for the observed information makes
−ℓn′′​(θ)/n and the Fisher information used in the Wald statistic converge to the same positive limit. Their ratio therefore converges in probability to one.

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  • Past exam of the mathematics course of the University of Cambridge / 2024 / ii / Paper 2 / 29L / c / Solution

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