AMDA-2008-Session 10

# AMDA-2008-Session 10 - Goodness of Fit Tests Multinomial...

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Goodness of Fit Tests

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Multinomial Distribution integral. are 0 ,..., ) ... (x ... ! !... ! ) ,..., P(X if ) 1 ... (p ,..., p n, parameters with on distributi l multinomia a follow ) ,..., (X X say We 1 1 1 1 1 1 1 1 1 1 = + + = = = = + + = k k x k x k k k k k k x x n x p p x x n x X x p p X k
Estimation of Parameters n x p n p x n p p x n p l p x n p x p l p x n p x C p p l x x n p p p x C p p l i i k i i k i i k i i i k i i i k i i k i i i i i k i i k i i k i i i k k k i k i i k = = - - = - = - = = - - - = - - + + = - - - = - - - = + = - = - = - = - = - = - = - = - = - = - - - = ˆ ) 1 ( ) ( get we 1 - k 1,. .., i for equations above the Adding ) 1 ( ) ( x get we 0 Putting 1) - k 1,. .., (i ) 1 ( ) ( ) 1 ln( ) ( ln ) ,..., ( get we ... x and ... 1 p Putting ln ) ,..., ( 1 1 1 1 1 1 1 1 i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 k 1 1 k 1 1

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Important properties j i j i i i i k k p np X X Cov p np np p p n Mult X - = - = = = ) , ( ) 1 ( ) SD(X ) E(X ) p Bin(n, is X of on distributi marginal the ) ,..., , ( ~ ) ,..., (X X Suppose i i i i 1 1
χ 2 -Goodness of Fit test . as d distribute is T , H under n, large for Then . ) (O

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## This note was uploaded on 05/07/2009 for the course FIN AMDA taught by Professor Proflaha during the Spring '09 term at Indian Institute Of Management, Ahmedabad.

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AMDA-2008-Session 10 - Goodness of Fit Tests Multinomial...

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