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This package computes a finite-sample tail bound of the likelihood ratio test (LRT) under multinomial sampling. The tail bounds can be used to obtain conservative p-values and critical values. This is useful for inference when the sample size is comparable to or even smaller than the alphabet size, where the standard chi-square asymptotic (Wilks’ theorem) may not hold.
You can install the package from CRAN with
> install.packages("multChernoff")or from GitHub with
> devtools::install_github("richardkwo/multChernoff")Please refer to the vignette.
> vignette("multChernoff")The package can be used with the finite-sample critical value
criticalValue to construct a convex confidence region on
the underlying probability vector.
The method is based on the following work:
F. Richard Guo and Thomas S. Richardson, “Chernoff-Type Concentration of Empirical Probabilities in Relative Entropy,” in IEEE Transactions on Information Theory, vol. 67, no. 1, pp. 549-558, Jan. 2021.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.