An approximation to the modified profile likelihood function

Thomas A Severini*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

58 Scopus citations

Abstract

An approximation to the modified profile likelihood function is proposed. This approximation is invariant under interest-respecting reparameterisations, it agrees with the modified profile likelihood function to order O(n-1) in the moderate-deviation sense and to order O(n-1) in the large-deviation sense, and it is stable in the sense of conditional inference. For the case of a curved exponential family model this approximation agrees with the one proposed by Barndorff-Nielsen (1995). A general expression for the approximate modified profile likelihood function is given for nonlinear regression models and for generalised linear models with known dispersion parameter. Adjusted profile likelihood; Likelihood inference; Nonlinear regression; Nuisance parameter; Profile likelihood.

Original languageEnglish (US)
Pages (from-to)403-411
Number of pages9
JournalBiometrika
Volume85
Issue number2
DOIs
StatePublished - Jan 1 1998

ASJC Scopus subject areas

  • Statistics and Probability
  • Mathematics(all)
  • Agricultural and Biological Sciences (miscellaneous)
  • Agricultural and Biological Sciences(all)
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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