Frequency properties of inferences based on an integrated likelihood function

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6 Scopus citations

Abstract

One approach to likelihood inference for a parameter of interest in the presence of a nuisance parameter is to use an integrated likelihood in which the nuisance parameter is eliminated from the likelihood by integrating with respect to a prior density. In this paper, the frequency properties of point estimators and interval estimators based on an integrated likelihood function are considered. These results are used to study the problem of choosing the prior density so that the resulting integrated likelihood function is useful for non-Bayesian likelihood inference.

Original languageEnglish (US)
Pages (from-to)433-447
Number of pages15
JournalStatistica Sinica
Volume21
Issue number1
StatePublished - Jan 1 2011

Keywords

  • Confidence intervals
  • Local power
  • Nuisance parameters
  • Point estimation

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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