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) |