IngentaConnect Interpreting statistical evidence by using imperfect models: robu...

Authors: Royall R.¹; Tsou T-S.²

Source: Journal of the Royal Statistical Society: Series B (Statistical Methodology), Volume 65, Number 2, May 2003 , pp. 391-404(14)

Publisher: Blackwell Publishing

Abstract:

Summary.

The strength of statistical evidence is measured by the likelihood ratio. Two key performance properties of this measure are the probability of observing strong misleading evidence and the probability of observing weak evidence. For the likelihood function associated with a parametric statistical model, these probabilities have a simple large sample structure when the model is correct. Here we examine how that structure changes when the model fails. This leads to criteria for determining whether a given likelihood function is robust (continuing to perform satisfactorily when the model fails), and to a simple technique for adjusting both likelihoods and profile likelihoods to make them robust. We prove that the expected information in the robust adjusted likelihood cannot exceed the expected information in the likelihood function from a true model. We note that the robust adjusted likelihood is asymptotically fully efficient when the working model is correct, and we show that in some important examples this efficiency is retained even when the working model fails. In such cases the Bayes posterior probability distribution based on the adjusted likelihood is robust, remaining correct asymptotically even when the model for the observable random variable does not include the true distribution. Finally we note a link to standard frequentist methodology—in large samples the adjusted likelihood functions provide robust likelihood-based confidence intervals.

Keywords: Bump function; Information; Law of likelihood; Misleading evidence; Profile likelihood; Robust Bayesian analysis; Robust confidence intervals; Strength of evidence

Document Type: Research article

DOI: 10.1111/1467-9868.00392

Affiliations: 1: Johns Hopkins University, Baltimore, USA 2: National Central University, Chung-Li, Taiwan

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Interpreting statistical evidence by using imperfect models: robust adjusted likelihood functions