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Likelihood for statistically equivalent models
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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, Vol.2009 (No.3).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
Abstract
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) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > 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 | ||||
Official Date: | 2009 | ||||
Dates: |
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Volume: | Vol.2009 | ||||
Number: | No.3 | ||||
Number of Pages: | 28 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 |
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