Parametric Statistical Models and Likelihood (Lecture Notes in Statistics, 50)

This book is a slightly revised and expanded version of a set I I I of notes used for a lecture series given at the Ecole dlEte de I Probabilites at st. Flour in August 1986. In view of the statistical nature of the material discussed herein it was agreed to publish the material as a separate volume in the statistics series rather than, as is the tradition, in a joint volume in the Lecture Notes in Mathematics Series. It is a genuine pleasure to have this opportunity to thank I I I the organizers of Les Ecoles dlEte, and in particular Professor P. -L. Hennequin, for the excellent arrangements of these Summer Schools which form a very significant forum for the exchange of scientific ideas relating to probability. The efficient, careful and patient preparation of the typescript by Oddbj~rg Wethelund is also gratefully acknowledged. Aarhus, June 1988 O. E. Barndorff-Nielsen Parametric statistical Models and Likelihood O. E. Barndorff-Nielsen o. Introduction 0. 1. Outline of contents 1 0. 2. A few preliminaries 2 1. Likelihood and auxiliary statistics 1. 1. Likelihood 4 1. 2. Moments and cumulants of log likelihood derivatives 10 1. 3. Parametrization invariance 13 1. 4. Marginal and conditional likelihood 15 \* 1. 5. Combinants, auxiliaries, and the p -model 19 1. 6. Orthogonal parameters 27 1. 7. Pseudo likelihood, profile likelihood and modified 30 profile likelihood 1. 8. Ancillarity and conditionality 33 41 1. 9. Partial sufficiency and partial ancillarity 1. 10. The Book Gives An Account Of The Mathematical-statistical Theory Of The Main Classes Of Parametric Statistical Models, I.e. Transformatioon Models And Exponential Models, And Of Likelihood Based Inference. The Emphasis Is On Recent Developments - Various New Results Are Presented - And The Mathematical Techniques Employed Include Parts Of The Theory Of Group Actions And Invariant Measures, Differential Geometry, And Asymptotic Analysis. A Knowledge Of These Techniques Is Not Presupposed But Will Be Helpful, As The Exposition Is Partly Quite Succinct. A Basic Knowledge Of Classic Parametric Statistical Inference Is However Assumed. Exactness Results And High-order Asymptotic Results For Important Likelihood Quantities, Including Maximum Likelihood Estimators, Score Vectors, (signed) Likelihood Ratios And (modified) Profile Likelihoods, Are Discussed. Concepts Of Ancillarity And Sufficiency Enter Prominently. Contents: Introduction -- Likelihood And Auxiliary Statistics -- Transformation Models And Exponential Models -- Reparametrizations And Differential Geometry -- Inferential And Geometric Structures -- Cumulants -- Laplace's Method, Edgeworth And Saddle-point Approximations -- Distributions Of Likelihood Quantities -- Appendices -- References -- Subject Index. Ole E. Barndorff-nielsen. Includes Index. ...notes Used For A Lecture Series Given At The École D'Été De Probabilités At St. Flour In August 1986--pref. Bibliography: P. 262-267. Front Matter....Pages I-VII Introduction....Pages 1-3 Likelihood and auxiliary statistics....Pages 4-48 Transformation models and exponential models....Pages 49-102 Reparametrizations and differential geometry....Pages 103-151 Inferential and geometric structures....Pages 152-172 Cumulants....Pages 173-187 Laplace’s method. Edgeworth and saddle-point approximations....Pages 188-212 Distribution of Likelihood Quantities....Pages 213-249 Back Matter....Pages 250-276