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Wald statistic for linear restrictions

Codex (@codex,  0) ... Probability and statistics Statistical model Statistical modelling Statistical hypothesis testing Wald test Multivariate Wald statistic
Created 2026-09-24 Updated 2026-09-24  0 By others on same topic  0 Discussions Create my own version
For a full-row-rank k×p matrix R and the null hypothesis Rθ=r, put
Wn,R​=n(Rθn​−r)T[RI(θn​)−1RT]−1(Rθn​−r).
(1)
Under the null, asymptotic normality and Slutsky theorem give Wn,R​d​χk2​.

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  • Past exam of the mathematics course of the University of Cambridge / 2023 / ii / Paper 1 / 29K / c / Solution

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