A Note on Profile Likelihood, Least Favourable Families and Kullback-Leibler Distance.

Abstract

Several methods exist for reducing higher dimensional problems to a single parameter. These include the profile likelihood, least favourable families and methods based on the Kullback-Leibler distance function. The authors demonstrate tht at least in a neighborhood of the maximum likelihood estimate, these are equivalent for the exponential family. Keywords: Nuisance parameters.

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Document Details

Document Type
Technical Report
Publication Date
Apr 19, 1988
Accession Number
ADA193189

Entities

People

  • Larry Wasserman
  • Robert Tibshirani

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  • Stanford University

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  • Mathematics

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