Pace, Luigi and Salvan, Alessandra and Ventura, Laura (2007) On a likelihood interpretation of adjusted profile likelihoods through refined predictive densities. [Working Paper] WORKING PAPER SERIES, 14/2007 . , PADOVA (Inedito)
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In this paper a second-order link between adjusted profile likelihoods and refinements of the estimative predictive density is shown. The result provides a new straightforward interpretation for modified profile likelihoods, that complements results in Severini (1998a) and in Pace and Salvan (2006). Moreover, it outlines a form of consistency to second order between likelihood theory and prediction in frequentist inference.
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