Journal
STATISTICAL PAPERS
Volume 60, Issue 6, Pages 1883-1919Publisher
SPRINGER
DOI: 10.1007/s00362-017-0900-1
Keywords
Composite likelihood; Maximum composite likelihood estimator; Restricted maximum composite likelihood estimator; Composite likelihood phi-divergence test-statistics
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Funding
- Ministerio de Economia y Competitividad (Spain) [MTM2015-67057-P]
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It is well-known that in some situations it is not easy to compute the likelihood function as the datasets might be large or the model is too complex. In that contexts composite likelihood, derived by multiplying the likelihoods of subjects of the variables, may be useful. The extension of the classical likelihood ratio test statistics to the framework of composite likelihoods is used as a procedure to solve the problem of testing in the context of composite likelihood. In this paper we introduce and study a new family of test statistics for composite likelihood: Composite phi -divergence test statistics for solving the problem of testing a simple null hypothesis or a composite null hypothesis. To do that we introduce and study the asymptotic distribution of the restricted maximum composite likelihood estimate.
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