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Lunardon, Nicola (2014) Towards unifying second-order theory of likelihoods and pseudolikelihoods. [Working Paper] WORKING PAPER SERIES, 9/2014 . , PADOVA (Inedito)

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Abstract (english)

Theory is developed to show that second-order distributional behaviour of pseudolikelihood ratios can be modified to resemble that of likelihood counterparts by means of a suitable adjustment. The latter is conceived to enable the Bartlett correction for pseudolikelihood ratios when inference focuses on a scalar parameter. The proposed methodology can be framed in the likelihood setting where it can be interpreted as a device to achieve secondorder accurate inference that takes into an account potential erroneous model assumptions. The efficacy of the proposal is demonstrated via simulation studies.

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EPrint type:Working Paper
Anno di Pubblicazione:September 2014
Key Words:Bartlett correction, Composite likelihood, Model misspecification, Pseudolikelihood, Second-order asymptotics
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7206
Depositato il:18 Sep 2014 15:50
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