Integrated likelihoods in models with stratum nuisance parameters

Riccardo De Bin, Nicola Sartori, Thomas A. Severini
2015 Electronic Journal of Statistics  
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 pseudolikelihood in a two-index asymptotics framework, in which both sample size and dimension of the nuisance parameter may diverge to infinity. We show that the integrated likelihood, if chosen wisely, largely outperforms standard likelihood methods, such as the profile likelihood. These results are
more » ... hese results are confirmed by simulation studies, in which comparisons with modified profile likelihood are also considered.
doi:10.1214/15-ejs1045 fatcat:cq5hhaxp5ve7lpywx5afpdd5a4