On the Behrens–Fisher problem: A globally convergent algorithm and a finite-sample study of the Wald, LR and LM tests
Behrens–Fisher问题:全局收敛算法及Wald、LR与LM检验的有限样本研究
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 of the log-likelihood function proposed by Buot and Richards [5]. Instead of focusing on the first order optimality conditions, the algorithm aims directly for the maximization of the log-likelihood function itself to achieve a global solution. Convergence proof and complexity estimates are…