Higher-order adjustments for a quasi-profile likelihood for a scalar parameter of interest in the presence of nuisance parameters are discussed. Paralleling likelihood asymptotics, these adjustments aim to alleviate some of the problems inherent to the presence of nuisance parameters. Indeed, the estimating equation for the parameter of interest, when the nuisance parameter is substituted with an appropriate estimate, is not unbiased and such a bias can lead to poor inference on the parameter of interest. Following the approach of McCullagh and Tibshirani (1990), here we propose adjustments for the estimating equation for the parameter of interest. Moreover, we discuss two methods for their computation: a bootstrap simulation method, and a first-order asymptotic expression, which can be simplified under an orthogonality assumption. Some examples, in the context of generalized linear models and of robust inference, are provided.

Adjusted quasi-profile likelihoods from estimating functions

Greco, Luca;Bellio, Ruggero;Ventura, Laura
2005

Abstract

Higher-order adjustments for a quasi-profile likelihood for a scalar parameter of interest in the presence of nuisance parameters are discussed. Paralleling likelihood asymptotics, these adjustments aim to alleviate some of the problems inherent to the presence of nuisance parameters. Indeed, the estimating equation for the parameter of interest, when the nuisance parameter is substituted with an appropriate estimate, is not unbiased and such a bias can lead to poor inference on the parameter of interest. Following the approach of McCullagh and Tibshirani (1990), here we propose adjustments for the estimating equation for the parameter of interest. Moreover, we discuss two methods for their computation: a bootstrap simulation method, and a first-order asymptotic expression, which can be simplified under an orthogonality assumption. Some examples, in the context of generalized linear models and of robust inference, are provided.
File in questo prodotto:
File Dimensione Formato  
2005_10.pdf

accesso aperto

Licenza: Non specificato
Dimensione 448.55 kB
Formato Adobe PDF
448.55 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11577/3442338
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact