1,274 research outputs found
Composite Likelihood Inference by Nonparametric Saddlepoint Tests
The class of composite likelihood functions provides a flexible and powerful
toolkit to carry out approximate inference for complex statistical models when
the full likelihood is either impossible to specify or unfeasible to compute.
However, the strenght of the composite likelihood approach is dimmed when
considering hypothesis testing about a multidimensional parameter because the
finite sample behavior of likelihood ratio, Wald, and score-type test
statistics is tied to the Godambe information matrix. Consequently inaccurate
estimates of the Godambe information translate in inaccurate p-values. In this
paper it is shown how accurate inference can be obtained by using a fully
nonparametric saddlepoint test statistic derived from the composite score
functions. The proposed statistic is asymptotically chi-square distributed up
to a relative error of second order and does not depend on the Godambe
information. The validity of the method is demonstrated through simulation
studies
Minimum scoring rule inference
Proper scoring rules are methods for encouraging honest assessment of
probability distributions. Just like likelihood, a proper scoring rule can be
applied to supply an unbiased estimating equation for any statistical model,
and the theory of such equations can be applied to understand the properties of
the associated estimator. In this paper we develop some basic scoring rule
estimation theory, and explore robustness and interval estimation properties by
means of theory and simulations.Comment: 27 pages, 3 figure
On the Properties of Simulation-based Estimators in High Dimensions
Considering the increasing size of available data, the need for statistical
methods that control the finite sample bias is growing. This is mainly due to
the frequent settings where the number of variables is large and allowed to
increase with the sample size bringing standard inferential procedures to incur
significant loss in terms of performance. Moreover, the complexity of
statistical models is also increasing thereby entailing important computational
challenges in constructing new estimators or in implementing classical ones. A
trade-off between numerical complexity and statistical properties is often
accepted. However, numerically efficient estimators that are altogether
unbiased, consistent and asymptotically normal in high dimensional problems
would generally be ideal. In this paper, we set a general framework from which
such estimators can easily be derived for wide classes of models. This
framework is based on the concepts that underlie simulation-based estimation
methods such as indirect inference. The approach allows various extensions
compared to previous results as it is adapted to possibly inconsistent
estimators and is applicable to discrete models and/or models with a large
number of parameters. We consider an algorithm, namely the Iterative Bootstrap
(IB), to efficiently compute simulation-based estimators by showing its
convergence properties. Within this framework we also prove the properties of
simulation-based estimators, more specifically the unbiasedness, consistency
and asymptotic normality when the number of parameters is allowed to increase
with the sample size. Therefore, an important implication of the proposed
approach is that it allows to obtain unbiased estimators in finite samples.
Finally, we study this approach when applied to three common models, namely
logistic regression, negative binomial regression and lasso regression
An overview of robust methods in medical research
Robust statistics is an extension of classical parametric statistics that specifically takes into account the fact that the assumed parametric models used by the researchers are only approximate. In this paper we review and outline how robust inferential procedures may routinely be applied in practice in the biomediacal research. Numerical illustrations are given for the t-test, regression models, logistic regression, survival analysis and ROC curves, showing that robust methods are often more appropriate than standard procedures
Do Monetary Incentives and Chained Questions Affect the Validity of Risk Estimates Elicited via the Exchangeability Method? An Experimental Investigation
Using a laboratory experiment, we investigate the validity of stated risks elicited via the Exchangeability Method (EM) by defining a valuation method based on de Finetti’s notion of coherence. The reliability of risk estimates elicited through the EM has been theoretically questioned because the chained structure of the game, in which each question depends on the respondent’s answer to the previous one, is thought to potentially undermine the incentive compatibility of the elicitation mechanism even when real monetary incentives are provided. Our results suggest that superiority of real monetary incentives is not evident when people are presented with chained experimental designlab experiment, risk elicitation, exchangeability, validity, pesticide residue
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