Likelihood for statistically equivalent models
Copas, John B. and Eguchi, Shinto (2009) Likelihood for statistically equivalent models. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. (Working papers).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
In likelihood inference we usually assume the model is fixed and then base inference on the corresponding likelihood function. Often however the choice of model is rather arbitrary, and there may be other models which fit the data equally well. We study robustness of likelihood inference over such “statistically equivalent” models, and suggest a simple “envelope likelihood” to capture this aspect of model uncertainty. Robustness depends critically on how we specify the parameter of interest. Some asymptotic theory is presented, illustrated by three examples.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||Q Science > QA Mathematics|
|Divisions:||Faculty of Science > Statistics|
|Library of Congress Subject Headings (LCSH):||Mathematical statistics|
|Series Name:||Working papers|
|Publisher:||University of Warwick. Centre for Research in Statistical Methodology|
|Place of Publication:||Coventry|
|Number of Pages:||28|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
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