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arXiv · 1612.06967

Note on information bias and efficiency of composite likelihood

Ximing Xu·Nancy Reid·Libai Xu
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Abstract

Does the asymptotic variance of the maximum composite likelihood estimator of a parameter of interest always decrease when the nuisance parameters are known? Will a composite likelihood necessarily become more efficient by incorporating addi- tional independent component likelihoods, or by using component likelihoods with higher dimension? In this note we show through illustrative examples that the an- swer to both questions is no, and indeed the opposite direction might be observed. The role of information bias is highlighted to understand the occurrence of these paradoxical phenomenon.

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Ximing Xu, Nancy Reid, Libai Xu. 2016-12-21. Note on information bias and efficiency of composite likelihood. https://arxiv.org/abs/1612.06967

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