- Statist. Surv.
- Volume 3 (2009), 1-17.
Statistical models: Conventional, penalized and hierarchical likelihood
We give an overview of statistical models and likelihood, together with two of its variants: penalized and hierarchical likelihood. The Kullback-Leibler divergence is referred to repeatedly in the literature, for defining the misspecification risk of a model and for grounding the likelihood and the likelihood cross-validation, which can be used for choosing weights in penalized likelihood. Families of penalized likelihood and particular sieves estimators are shown to be equivalent. The similarity of these likelihoods with a posteriori distributions in a Bayesian approach is considered.
Statist. Surv. Volume 3 (2009), 1-17.
First available in Project Euclid: 7 April 2009
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Commenges, Daniel. Statistical models: Conventional, penalized and hierarchical likelihood. Statist. Surv. 3 (2009), 1--17. doi:10.1214/08-SS039. http://projecteuclid.org/euclid.ssu/1239113309.