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Adjusting composite likelihood ratio statistics. (English) Zbl 1206.62109

Summary: Composite likelihood may be useful for approximating likelihood based inference when the full likelihood is too complex to deal with. Stemming from a misspecified model, inference based on composite likelihood requires suitable corrections. We focus on the composite likelihood ratio statistic for a multidimensional parameter of interest, and we propose a parameterization invariant adjustment that allows reference to the usual asymptotic chi-square distribution. Two examples dealing with pairwise likelihood are analysed through simulation.

MSC:

62H12 Estimation in multivariate analysis
65C60 Computational problems in statistics (MSC2010)
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)