Seminar: Composite likelihood

SpeakerNancy Reid
AffiliationUniversity of Toronto
DateThursday, 22 Nov 2012
Time13:00 - 14:00
LocationRoberts G08 Sir David Davies LT
Event seriesStatistical Science Seminars

In complex multivariate settings, it is sometimes much simpler to construct a 'likelihood' from lower dimensional marginal or conditional distributions: the general construction was called composite likelihood in Lindsay (1988). Under mild conditions the resulting composite maximum likelihood estimate is consistent and asymptotically normal, with asymptotic variance of the 'sandwich' form that also arises in mis-specified models. A recent workshop at the Banff International Research Station on composite likelihood had as one goal to identify important directions for future research in the theory of composite likelihood, in software development, and in methodology for different areas of application. I will give an overview of the progress made at this workshop and highlight areas where more research is needed.

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