Frequentist Properties of the Likelihood

Leonhard Held and Daniel Sabanés Bové
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Leonhard Held: University of Zurich, Institute of Social and Preventive Medicine
Daniel Sabanés Bové: University of Zurich, Institute of Social and Preventive Medicine

Chapter 4 in Applied Statistical Inference, 2014, pp 79-122 from Springer

Abstract: Abstract Frequentist properties of the maximum likelihood estimate of a scalar parameter are derived. The Wald, Score and Likelihood Ratio test statistics and the corresponding confidence intervals are introduced. Variance stabilizing transformations are also discussed. A case study comparing coverage and width of several confidence intervals for a proportion finishes this chapter, completed by a number of exercises at the end.

Keywords: Wald Confidence Intervals; Expected Fisher Information; Likelihood Ratio Confidence Intervals; Approximate Pivot; Score Test Statistic (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/978-3-642-37887-4_4

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