RSFAS Statistics Seminar – Dr. Hien Nguyen

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Speaker: Dr. Hien Nguyen

Institution: La Trobe University

Title: Universal inference with composite likelihoods

Abstract: Maximum composite likelihood estimation is a useful alternative to maximum likelihood estimation when data arise from data generating processes (DGPs) that do not admit tractable joint specification. We demonstrate that generic composite likelihoods consisting of marginal and conditional specifications permit the simple construction of composite likelihood ratio-like statistics from which finite-sample valid confidence sets and hypothesis tests can be constructed. These statistics are universal in the sense that they can be constructed from any estimator for the parameter of the underlying DGP. We demonstrate our methodology via some simulation and real data examples.

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