Skip to content

amostof/ProfileLikelihood.jl

 
 

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

Repository files navigation

ProfileLikelihood

DOI Dev Stable Build Status Coverage

This package defines the routines required for computing maximum likelihood estimates and profile likelihoods. The optimisation routines are built around the Optimization.jl interface, allowing us to e.g. easily switch between algorithms, between finite differences and automatic differentiation, and it allows for constraints to be defined with ease. Below we list the definitions we are using for likelihoods and profile likelihoods. This code works for univariate and bivariate profiles.

Definition: Likelihood function (see Casella & Berger, 2002): Let $f(\boldsymbol x \mid \boldsymbol \theta)$ denote the joint probability density function (PDF) of the sample $\boldsymbol X = (X_1,\ldots,X_n)^{\mathsf T}$, where $\boldsymbol \theta \in \Theta$ is some set of parameters and $\Theta$ is the parameter space. We define the likelihood function $\mathcal L \colon \Theta \to [0, \infty)$ by $\mathcal L(\boldsymbol \theta \mid \boldsymbol x) = f(\boldsymbol x \mid \boldsymbol \theta)$ for some realisation $\boldsymbol x = (x_1,\ldots,x_n)^{\mathsf T}$ of $\boldsymbol X$. The log-likelihood function $\ell\colon\Theta\to\mathbb R$ is defined by $\ell(\boldsymbol \theta \mid \boldsymbol x) = \log\mathcal L(\boldsymbol\theta \mid \boldsymbol x)$.The maximum likelihood estimate (MLE) $\hat{\boldsymbol\theta}$ is the parameter $\boldsymbol\theta$ that maximises the likelihood function, $\hat{\boldsymbol{\theta}} = argmax_{\boldsymbol{\theta} \in \Theta} \mathcal{L}(\boldsymbol{\theta} \mid \boldsymbol x) = argmax_{\boldsymbol\theta \in \Theta} \ell(\boldsymbol\theta \mid \boldsymbol x)$.

Definition: Profile likelihood function (see Pawitan, 2001): Suppose we have some parameters of interest, $\boldsymbol \theta \in \Theta$, and some nuisance parameters, $\boldsymbol \phi \in \Phi$, and some data $\boldsymbol x = (x_1,\ldots,x_n)^{\mathsf T}$, giving some joint likelihood $\mathcal L \colon \Theta \cup \Phi \to [0, \infty)$ defined by $\mathcal L(\boldsymbol\theta, \boldsymbol\phi \mid \boldsymbol x)$. We define the profile likelihood $\mathcal L_p \colon \Theta \to [0, \infty)$ of $\boldsymbol\theta$ by $\mathcal L_p(\boldsymbol\theta \mid \boldsymbol x) = \sup_{\boldsymbol \phi \in \Phi \mid \boldsymbol \theta} \mathcal L(\boldsymbol \theta, \boldsymbol \phi \mid \boldsymbol x)$. The profile log-likelihood $\ell_p \colon \Theta \to \mathbb R$ of $\boldsymbol\theta$ is defined by $\ell_p(\boldsymbol \theta \mid \boldsymbol x) = \log \mathcal L_p(\boldsymbol\theta \mid \boldsymbol x)$. The normalised profile likelihood is defined by $\hat{\mathcal L}_p(\boldsymbol\theta \mid \boldsymbol x) = \mathcal L_p(\boldsymbol \theta \mid \boldsymbol x) - \mathcal L_p(\hat{\boldsymbol\theta} \mid \boldsymbol x)$, where $\hat{\boldsymbol\theta}$ is the MLE of $\boldsymbol\theta$, and similarly for the normalised profile log-likelihood.

From Wilk's theorem, we know that $2\hat{\ell}_p(\boldsymbol\theta \mid \boldsymbol x) \geq -\chi_{p, 1-\alpha}^2$ is an approximate $100(1-\alpha)%$ confidence region for $\boldsymbol \theta$, and this enables us to obtain confidence intervals for parameters by considering only their profile likelihood, where $\chi_{p,1-\alpha}^2$ is the $1-\alpha$ quantile of the $\chi_p^2$ distribution and $p$ is the length of $\boldsymbol\theta$. For the case of a scalar parameter of interest, $-\chi_{1, 0.95}^2 \approx -1.92$.

We compute the profile log-likelihood in this package by starting at the MLE, and stepping left/right until we reach a given threshold. The code is iterative to not waste time in so much of the parameter space. In the bivariate case, we start at the MLE and expand outwards in layers. This implementation is described in the documentation.

More detail about the methods we use in this package are given in the documentation, along with several examples.

About

Methods for profile likelihood analysis.

Resources

License

Stars

Watchers

Forks

Packages

No packages published

Languages

  • Julia 100.0%