双重似然

Dual Likelihood

Annals of Statistics · 1995
被引 60
ABS 4★

中文导读

提出双重似然概念,通过鞅估计方程提高推断精度,给出双重似然比统计量的渐近结果,并应用于生存分析、时间序列和独立观测,建立与非参数似然的联系。

Abstract

This paper introduces the concept of dual likelihood as a method of improving accuracy in inference situations depending on martingale estimating equations. Asymptotic results are given for the dual likelihood ratio statistic, and the structure of the family of alternatives is explored. Applications to survival analysis and also to time series, likelihood inference and independent observations are given. Connections to nonparametric likelihood (including empirical likelihood) are established.

统计学计量经济学非参数统计生存分析时间序列分析