On full efficiency of the maximum composite likelihood estimator

We establish conditions for full efficiency of the maximum composite likelihood estimator, related to proportionality of the full and composite score functions. A major application is in exponential family models. An illustrative example is considered.

MoreLess

Year of publication:	2015
Authors:	Kenne Pagui, E.C. ; Salvan, A. ; Sartori, N.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 97.2015, C, p. 120-124
Publisher:	Elsevier
Subject:	Composite likelihood \| Efficiency \| Exponential family \| Score function \| Multivariate normal \| Pseudo-likelihood

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189351