A NOTE ON INFORMATION BIAS AND EFFICIENCY OF COMPOSITE LIKELIHOOD

作者全名："Xu, Libai; Reid, Nancy; Xu, Ximing"

作者地址："[Xu, Libai] Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China; [Reid, Nancy] Univ Toronto, Dept Stat Sci, Toronto, ON M5S 1A1, Canada; [Xu, Ximing] Chongqing Med Univ, Childrens Hosp, Big Data Ctr Childrens Med Care, Chongqing 400016, Peoples R China"

通信作者："Xu, XM (通讯作者)，Chongqing Med Univ, Childrens Hosp, Big Data Ctr Childrens Med Care, Chongqing 400016, Peoples R China."

来源：STATISTICA SINICA

ESI学科分类：MATHEMATICS

WOS号：WOS:001223621300023

JCR分区：Q2

影响因子：1.4

年份：2024

卷号：34

期号：1

开始页：523

结束页：526

文献类型：Article

关键词：Key words and phrases; Bartlett's second identity; estimating function; godambe information matrix; nuisance parameter; pairwise likelihood

摘要："Although the properties of inferences based on a composite likelihood are well established, they can be surprising, leading to misleading results. In this note, we show by example that the variance of a maximum composite likelihood estimator can increase when the nuisance parameters are known, rather than estimated. In addition, we show that estimators based on more independent component likelihoods can be less efficient than those based on fewer such likelihoods, and that incorporating higher-dimensional marginal densities can also lead to a less efficient inference. The role of information bias is highlighted to understand why these paradoxical phenomena occur."

基金机构：Natural Sciences and Engineering Research Council of Canada; Chongqing Innovation Program for Returned Overseas Chinese Scholars [ex2021112]

基金资助正文：Acknowledgments We are grateful to Professor Grace Yi for helpful comments on an earlier draft. This work was supported in part by the Natural Sciences and Engineering Research Council of Canada and Chongqing Innovation Program for Returned Overseas Chinese Scholars (ex2021112) .