In this paper a second-order link between adjusted profile likelihoods and refinements of the estimative predictive density is shown. The result provides a new straightforward interpretation for modified profile likelihoods, that complements results in Severini (1998a) and in Pace and Salvan (2006). Moreover, it outlines a form of consistency to second order between likelihood theory and prediction in frequentist inference.
On a likelihood interpretation of adjusted profile likelihoods through refined predictive densities.
Pace, Luigi;Salvan, Alessandra;Ventura, Laura
2007
Abstract
In this paper a second-order link between adjusted profile likelihoods and refinements of the estimative predictive density is shown. The result provides a new straightforward interpretation for modified profile likelihoods, that complements results in Severini (1998a) and in Pace and Salvan (2006). Moreover, it outlines a form of consistency to second order between likelihood theory and prediction in frequentist inference.
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