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Aspects of likelihood inference  [PDF]
Nancy Reid
Statistics , 2013, DOI: 10.3150/12-BEJSP03
Abstract: I review the classical theory of likelihood based inference and consider how it is being extended and developed for use in complex models and sampling schemes.
Likelihood inference in the presence of nuisance parameters  [PDF]
N. Reid,D. A. S. Fraser
Physics , 2003,
Abstract: We describe some recent approaches to likelihood based inference in the presence of nuisance parameters. Our approach is based on plotting the likelihood function and the $p$-value function, using recently developed third order approximations. Orthogonal parameters and adjustments to profile likelihood are also discussed. Connections to classical approaches of conditional and marginal inference are outlined.
Likelihood inference for Archimedean copulas  [PDF]
Marius Hofert,Martin M?chler,Alexander J. McNeil
Statistics , 2011,
Abstract: Explicit functional forms for the generator derivatives of well-known one-parameter Archimedean copulas are derived. These derivatives are essential for likelihood inference as they appear in the copula density, conditional distribution functions, or the Kendall distribution function. They are also required for several asymmetric extensions of Archimedean copulas such as Khoudraji-transformed Archimedean copulas. Access to the generator derivatives makes maximum-likelihood estimation for Archimedean copulas feasible in terms of both precision and run time, even in large dimensions. It is shown by simulation that the root mean squared error is decreasing in the dimension. This decrease is of the same order as the decrease in sample size. Furthermore, confidence intervals for the parameter vector are derived. Moreover, extensions to multi-parameter Archimedean families are given. All presented methods are implemented in the open-source R package nacopula and can thus easily be accessed and studied.
Spectral likelihood expansions for Bayesian inference  [PDF]
Joseph B. Nagel,Bruno Sudret
Statistics , 2015,
Abstract: A spectral approach to Bayesian inference is presented. It is based on the idea of computing a series expansion of the likelihood function in terms of polynomials that are orthogonal with respect to the prior. Based on this spectral likelihood expansion, the posterior density and all statistical quantities of interest can be calculated semi-analytically. This formulation avoids Markov chain Monte Carlo simulation and allows one to make use of linear least squares instead. The pros and cons of spectral Bayesian inference are discussed and demonstrated on the basis of simple applications from classical statistics and inverse modeling.
Rejoinder: Likelihood Inference for Models with Unobservables Another View  [PDF]
Youngjo Lee,John A. Nelder
Statistics , 2010, DOI: 10.1214/09-STS277REJ
Abstract: Rejoinder to "Likelihood Inference for Models with Unobservables: Another View" by Youngjo Lee and John A. Nelder [arXiv:1010.0303]
Discussion of Likelihood Inference for Models with Unobservables: Another View  [PDF]
Thomas A. Louis
Statistics , 2010, DOI: 10.1214/09-STS277A
Abstract: Discussion of "Likelihood Inference for Models with Unobservables: Another View" by Youngjo Lee and John A. Nelder [arXiv:1010.0303]
Discussion of Likelihood Inference for Models with Unobservables: Another View  [PDF]
Geert Molenberghs,Michael G. Kenward,Geert Verbeke
Statistics , 2010, DOI: 10.1214/09-STS277B
Abstract: Discussion of "Likelihood Inference for Models with Unobservables: Another View" by Youngjo Lee and John A. Nelder [arXiv:1010.0303]
Inference with penalized likelihood  [PDF]
Daniel Commenges,Jérémie Bureau,Hein Putter
Statistics , 2014,
Abstract: This work studies the statistical properties of the maximum penalized likelihood approach in a semi-parametric framework. We recall the penalized likelihood approach for estimating a function and review some asymptotic results. We investigate the properties of two estimators of the variance of maximum penalized likelihood estimators: sandwich estimator and a Bayesian estimator. The coverage rates of confidence intervals based on these estimators are studied through a simulation study of survival data. In a first simulation the coverage rates for the survival function and the hazard function are evaluated. In a second simulation data are generated from a proportional hazard model with covariates. The estimators of the variances of the regression coefficients are studied. As for the survival and hazard functions, both sandwich and Bayesian estimators exhibit relatively good properties, but the Bayesian estimator seems to be more accurate. As for the regression coefficients, we focussed on the Bayesian estimator and found that it yielded good coverage rates.
Likelihood Inference for Models with Unobservables: Another View  [PDF]
Youngjo Lee,John A. Nelder
Statistics , 2010, DOI: 10.1214/09-STS277
Abstract: There have been controversies among statisticians on (i) what to model and (ii) how to make inferences from models with unobservables. One such controversy concerns the difference between estimation methods for the marginal means not necessarily having a probabilistic basis and statistical models having unobservables with a probabilistic basis. Another concerns likelihood-based inference for statistical models with unobservables. This needs an extended-likelihood framework, and we show how one such extension, hierarchical likelihood, allows this to be done. Modeling of unobservables leads to rich classes of new probabilistic models from which likelihood-type inferences can be made naturally with hierarchical likelihood.
Inference in HIV dynamics models via hierarchical likelihood  [PDF]
D. Commenges,D. Jolly,H. Putter,R. Thiebaut
Statistics , 2010,
Abstract: HIV dynamical models are often based on non-linear systems of ordinary differential equations (ODE), which do not have analytical solution. Introducing random effects in such models leads to very challenging non-linear mixed-effects models. To avoid the numerical computation of multiple integrals involved in the likelihood, we propose a hierarchical likelihood (h-likelihood) approach, treated in the spirit of a penalized likelihood. We give the asymptotic distribution of the maximum h-likelihood estimators (MHLE) for fixed effects, a result that may be relevant in a more general setting. The MHLE are slightly biased but the bias can be made negligible by using a parametric bootstrap procedure. We propose an efficient algorithm for maximizing the h-likelihood. A simulation study, based on a classical HIV dynamical model, confirms the good properties of the MHLE. We apply it to the analysis of a clinical trial.
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