This paper reviews the most common situations where one or more regularity conditions which underlie likelihood-based parametric inference fail. We identify three main classes of problems: boundary problems, indeterminate parameter problems—which include non-identifiable parameters and singular information matrices—and change-point problems. The review focuses on the large-sample properties of the likelihood ratio statistic, though other approaches to hypothesis testing and connections to estimation will be mentioned in passing. We emphasize analytical solutions and mention software implementations where available. Some summary insights about the possible tools to derivate the key results are given.
Likelihood Asymptotics in Nonregular Settings: A Review and Annotated Bibliography with Emphasis on the Likelihood Ratio
Alessandra R. Brazzale
;
2021
Abstract
This paper reviews the most common situations where one or more regularity conditions which underlie likelihood-based parametric inference fail. We identify three main classes of problems: boundary problems, indeterminate parameter problems—which include non-identifiable parameters and singular information matrices—and change-point problems. The review focuses on the large-sample properties of the likelihood ratio statistic, though other approaches to hypothesis testing and connections to estimation will be mentioned in passing. We emphasize analytical solutions and mention software implementations where available. Some summary insights about the possible tools to derivate the key results are given.File | Dimensione | Formato | |
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