Likelihood for statistically equivalent models

Abstract

In likelihood inference we usually assume that the model is fixed and then base inference on the corresponding likelihood function. Often, however, the choice of model is rather arbitrary, and there may be other models which fit the data equally well. We study robustness of likelihood inference over such 'statistically equivalent' models and suggest a simple 'envelope likelihood' to capture this aspect of model uncertainty. Robustness depends critically on how we specify the parameter of interest. Some asymptotic theory is presented, illustrated by three examples. © 2010 Royal Statistical Society.