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Universal inference with composite likelihoods
Methodology · Submitted 28 Jun 2021
abstract compiled · 2026-09-23 · no language-model review
The authors' main claim 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.
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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 a simulation study using a pair of conditionally specified bivariate models.
background contribution method result interpretation main claim
| # | sentence | role | the authors' own work | states the main conclusion | strength |
|---|---|---|---|---|---|
| s0 | 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. | background 1.00 | 0.05 | 0.05 | asserted 1.00 |
| s1 | 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. | contribution 0.82 | 0.94 | 0.68 | asserted 1.00 |
| s2 | These statistics are universal in the sense that they can be constructed from any estimator for the parameter of the underlying DGP. | interpretation 0.59 | 0.63 | 0.43 | asserted 1.00 |
| s3 | We demonstrate our methodology via a simulation study using a pair of conditionally specified bivariate models. | method 0.69 | 0.95 | 0.04 | asserted 1.00 |
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Original 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 a simulation study using a pair of conditionally specified bivariate models.
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