Adjustment of the Profile Likelihood for a Class of Normal Regression Models

Maria Durban and I. D. Currie

Scandinavian Journal of Statistics, 2000, vol. 27, issue 3, 535-542

Abstract: We apply the method of McCullagh & Tibshirani (1990) to a generalization of the model for variance components in which the parameter of interest can appear in both the mean and variance. We obtain the exact adjusted profile log‐likelihood score function. For the variance components model, we obtain the adjusted profile log‐likelihood and show that it equals the restricted log‐likelihood of Patterson & Thompson (1971). We discuss an example due to Kempton (1982) of a regression model with autoregressive terms in which the parameter of interest appears in both the mean and variance.

Date: 2000
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