Stability and uniqueness of p-values for likelihood-based inference
File(s)accuracy_aug10_14.pdf (297.31 KB)
Accepted version
Author(s)
DiCiccio, TJ
Kuffner, TA
Young, GA
Zaretzki, R
Type
Journal Article
Abstract
Likelihood-based methods of statistical inference provide a useful general methodology that is appealing, as a straightforward asymptotic theory can be applied for their implementation. It is important to assess the relationships between different likelihood-based inferential procedures in terms of accuracy and adherence to key principles of statistical inference, in particular those relating to conditioning on relevant ancillary statistics. An analysis is given of the stability properties of a general class of likelihood-based statistics, including those derived from forms of adjusted profile likelihood, and comparisons are made between inferences derived from different statistics. In particular, we derive a set of sufficient conditions for agreement to Op(n-1), in terms of the sample size n, of inferences, specifically p-values, derived from different asymptotically standard normal pivots. Our analysis includes inference problems concerning a scalar or vector interest parameter, in the presence of a nuisance parameter.
Date Issued
2015-10-01
Date Acceptance
2015-03-19
Citation
Statistica Sinica, 2015, 25 (4), pp.1355-1376
ISSN
1017-0405
Publisher
Academia Sinica, Institute of Statistical Science
Start Page
1355
End Page
1376
Journal / Book Title
Statistica Sinica
Volume
25
Issue
4
Copyright Statement
© 2015 The Authors
Identifier
http://www3.stat.sinica.edu.tw/statistica/J25N4/J25N44/J25N44.html
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Adjusted profile likelihood
ancillary statistic
likelihood
modified signed root likelihood ratio statistic
nuisance parameter
pivot
stability
ADJUSTED PROFILE LIKELIHOODS
SIGNED ROOTS
CONDITIONAL PROPERTIES
RATIO STATISTICS
ESTIMATOR
FREQUENTIST
INFORMATION
PARAMETERS
ACCURACY
BIAS
Publication Status
Published
Date Publish Online
2015-03-19