Statistical Science

Accurate Parametric Inference for Small Samples

Alessandra R. Brazzale and Anthony C. Davison

Full-text: Open access

Abstract

We outline how modern likelihood theory, which provides essentially exact inferences in a variety of parametric statistical problems, may routinely be applied in practice. Although the likelihood procedures are based on analytical asymptotic approximations, the focus of this paper is not on theory but on implementation and applications. Numerical illustrations are given for logistic regression, nonlinear models, and linear non-normal models, and we describe a sampling approach for the third of these classes. In the case of logistic regression, we argue that approximations are often more appropriate than ‘exact’ procedures, even when these exist.

Article information

Source
Statist. Sci. Volume 23, Number 4 (2008), 465-484.

Dates
First available in Project Euclid: 11 May 2009

Permanent link to this document
https://projecteuclid.org/euclid.ss/1242049390

Digital Object Identifier
doi:10.1214/08-STS273

Mathematical Reviews number (MathSciNet)
MR2530546

Zentralblatt MATH identifier
1329.62101

Keywords
Conditional inference heteroscedasticity logistic regression Lugannani–Rice formula Markov chain Monte Carlo nonlinear model R regression-scale model saddlepoint approximation spline statistical computing

Citation

Brazzale, Alessandra R.; Davison, Anthony C. Accurate Parametric Inference for Small Samples. Statist. Sci. 23 (2008), no. 4, 465--484. doi:10.1214/08-STS273. https://projecteuclid.org/euclid.ss/1242049390.


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