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Flat and multimodal likelihoods and model lack of fit in curved exponential families
Stockholm University, Faculty of Science, Department of Mathematics.
2010 (English)In: Scandinavian Journal of Statistics, ISSN 0303-6898, E-ISSN 1467-9469, Vol. 37, no 4, 632-643 p.Article in journal (Refereed) Published
Abstract [en]

It is well known that curved exponential families can have multimodal likelihoods. We investigate the relationship between flat or multimodal likelihoods and model lack of fit, the latter measured by the score (Rao) test statistic of the curved model as embedded in the corresponding full model. When data yield a locally flat or convex likelihood (root of multiplicity >1, terrace point, saddle point, local minimum), we provide a formula for in such points, or a lower bound for it. The formula is related to the statistical curvature of the model, and it depends on the amount of Fisher information. We use three models as examples, including the Behrens-Fisher model, to see how a flat likelihood, etc. by itself can indicate a bad fit of the model. The results are related (dual) to classical results by Efron from 1978.

Place, publisher, year, edition, pages
2010. Vol. 37, no 4, 632-643 p.
Keyword [en]
Behrens-Fisher model, Rao test, score test, seemingly unrelated regressions, statistical curvature
National Category
Probability Theory and Statistics
Research subject
Mathematical Statistics
URN: urn:nbn:se:su:diva-46942DOI: 10.1111/j.1467-9469.2010.00703.xISI: 000284067000006OAI: diva2:372204
Available from: 2010-11-24 Created: 2010-11-24 Last updated: 2011-11-21Bibliographically approved

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Sundberg, Rolf
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ReferencesLink to record
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