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Please use this identifier to cite or link to this item: http://hdl.handle.net/10077/7728

Title: Prepivoting composite score statistics
Authors: Lunardon, Nicola
Keywords: Composite likelihood
Bootstrap
Prepivoting
Pivot
Issue Date: 20-Sep-2012
Series/Report no.: Working paper series - Dipartimento di scienze economiche, aziendali, matematiche e statistiche "Bruno de Finetti"
6 (2012)
Abstract: The role played by the composite analogue of the log likelihood ratio in hypothesis testing and in setting confidence regions is not as prominent as it is in the canonical likelihood setting, since its asymptotic distribution depends on the unknown parameter. Approximate pivots based on the composite log likelihood ratio can be derived by using asymptotic arguments. However, the actual distribution of such pivots may differ considerably from the asymptotic reference, leading to tests and confidence regions whose levels are distant from the nominal ones. The use of bootstrap rather than asymptotic distributions in the composite likelihood framework is explored. Prepivoted tests and confidence sets based on a suitable statistic turn out to be accurate and computationally appealing inferential tools.
Description: Nicola Lunardon, "Prepivoting composite score statistics", Working Paper Series 6, 2012
URI: http://hdl.handle.net/10077/7728
ISBN: 978-88-8303-441-1
Appears in Collections:Working Papers Series, 2012, 6

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