Estimation in the presence of many nuisance parameters: composite likelihood and plug-in likelihood

DOI10.1016/j.spa.2013.03.017zbMath1285.62036OpenAlexW2110679272MaRDI QIDQ2447659

Shiwu Zhu, Billy Wu, Qiwei Yao

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.03.017

zbMATH Keywords

time seriesnuisance parameterspanel dataU-statisticsstationary processquasi-likelihoodprofile likelihoodspatial autoregressive modelincidental parameters problemroot-n convergence

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Uses Software

• Arc_Mat

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Integrated likelihood methods for eliminating nuisance parameters. (With comments and a rejoinder).
• The incidental parameter problem since 1948
• Nonlinear time series. Nonparametric and parametric methods
• A pairwise likelihood approach to analyzing correlated binary data
• Simultaneous analysis of Lasso and Dantzig selector
• Models for discrete longitudinal data.
• Pairwise likelihood approach to grouped continuous model and its extension
• Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches
• Exogeneity
• Approximation Theorems of Mathematical Statistics
• A note on pseudolikelihood constructed from marginal densities
• Extended Mantel-Haenszel Estimating Procedure for Multivariate Logistic Regression Models
• Partial likelihood
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• On the Elimination of Nuisance Parameters
• Sure Independence Screening for Ultrahigh Dimensional Feature Space
• Consistent Estimates Based on Partially Consistent Observations