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2015 Integrated likelihoods in models with stratum nuisance parameters
Riccardo De Bin, Nicola Sartori, Thomas A. Severini
Electron. J. Statist. 9(1): 1474-1491 (2015). DOI: 10.1214/15-EJS1045


Frequentist inference about a parameter of interest in presence of a nuisance parameter can be based on an integrated likelihood function. We analyze the behaviour of inferential quantities based on such a pseudo-likelihood in a two-index-asymptotics framework, in which both sample size and dimension of the nuisance parameter may diverge to infinity. We show that a properly chosen integrated likelihood largely outperforms standard likelihood methods, such as those based on the profile likelihood. These results are confirmed by simulation studies, in which comparisons with modified profile likelihood are also considered.


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Riccardo De Bin. Nicola Sartori. Thomas A. Severini. "Integrated likelihoods in models with stratum nuisance parameters." Electron. J. Statist. 9 (1) 1474 - 1491, 2015.


Received: 1 September 2014; Published: 2015
First available in Project Euclid: 7 July 2015

zbMATH: 1327.62304
MathSciNet: MR3367667
Digital Object Identifier: 10.1214/15-EJS1045

Primary: 62G20

Keywords: modified profile likelihood , non stationary autoregressive model , profile likelihood , profile score bias , two-index asymptotics

Rights: Copyright © 2015 The Institute of Mathematical Statistics and the Bernoulli Society


Vol.9 • No. 1 • 2015
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