Application of Likelihood Methods to Models Involving Large Numbers of Parameters

Abstract

Summary: Likelihood methods of dealing with some multiparameter problems are introduced and exemplified. Specifically, methods of eliminating nuisance parameters from the likelihood function so that inferences can be made about the parameters of interest are considered. In this regard integrated likelihoods, maximum relative likelihoods, conditional likelihoods, marginal likelihoods and second-order likelihoods are introduced and their uses illustrated in examples. Marginal and conditional likelihoods are dependent upon factorings of the likelihood function. They are applied to the linear functional relationship and to related models and are found to give intuitively appealing results. These methods indicate that in many situations commonly encountered objective methods of eliminating unwanted parameters from the likelihood function can be adopted. This gives an alternative method of interpreting multiparameter likelihoods to that offered by the Bayesian approach.