Parameter Orthogonality and Approximate Conditional Inference
We consider inference for a scalar parameter ψ in the presence of one or more nuisance parameters. The nuisance parameters are required to be orthogonal to the parameter of interest, and the construction and interpretation of orthogonalized parameters is discussed in some detail. For purposes of inf...
| Veröffentlicht in: | Journal of the Royal Statistical Society. Series B (Methodological). - Royal Statistical Society, 1948. - 49(1987), 1, Seite 1-39 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1987
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| Zugriff auf das übergeordnete Werk: | Journal of the Royal Statistical Society. Series B (Methodological) |
| Schlagworte: | Asymptotic Theory Conditional Inference Likelihood Ratio Test Normal Transformation Model Nuisance Parameters Orthogonal Parameters Mathematics Behavioral sciences Information science |
| Zusammenfassung: | We consider inference for a scalar parameter ψ in the presence of one or more nuisance parameters. The nuisance parameters are required to be orthogonal to the parameter of interest, and the construction and interpretation of orthogonalized parameters is discussed in some detail. For purposes of inference we propose a likelihood ratio statistic constructed from the conditional distribution of the observations, given maximum likelihood estimates for the nuisance parameters. We consider to what extent this is preferable to the profile likelihood ratio statistic in which the likelihood function is maximized over the nuisance parameters. There are close connections to the modified profile likelihood of Barndorff-Nielsen (1983). The normal transformation model of Box and Cox (1964) is discussed as an illustration. |
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| ISSN: | 00359246 |