Stable and invariant adjusted profile likelihood and directed likelihood for curved exponential models

For curved exponential models, the modified profile likelihoodand the modified directed likelihood are approximated, witherror 0(n^-1) under ordinary repeated sampling, by explicitlydefined and invariant quantities which do not require specificationof an ancillary and which are stable in the sense of havingthe appropriate conditionality property with respect to anyreasonable ancillary.     

Practical use of modified maximum likelihoods for stratified data

Stratified data arise in several settings, such as longitudinal studies or multicenter clinical trials. Between-strata heterogeneity is usually addressed by random effects models, but an alternative approach is given by fixed effects models, which treat the incidental nuisance parameters as fixed unknown quantities. This approach presents several advantages, like computational simplicity and robustness to confounding by strata. However, maximum likelihood estimates of the parameter of interest are typically affected by incidental parameter bias. A remedy to this is given by the elimination of stratum-specific parameters by exact or approximate conditioning. The latter solution is afforded by the modified profile likelihood, which is the method applied in this paper. The aim is to demonstrate how the theory of modified profile likelihoods provides convenient solutions to various inferential problems in this setting. Specific procedures are available for different kinds of response variables, and they are useful both for inferential purposes and as a diagnostic method for validating random effects models. Some examples with real data illustrate these points.     

An approach to the conditional error rate principle with nuisance parameters

In the presence of nuisance parameters, the conditional error rate principle is difficult to apply because of the dependency of the conditional error function of the preplanned test on nuisance parameters. To use the conditional error rate principle with nuisance parameters, we propose to search among tests that guarantee overall error control for the test that maximizes a weighted combination of the conditional error rates over possible values of the nuisance parameters. We show that the optimization problem that defines such a test can be solved efficiently by existing algorithms.     

A solution to the problem of monotone likelihood in Cox regression

The phenomenon of monotone likelihood is observed in the fitting process of a Cox model if the likelihood converges to a finite value while at least one parameter estimate diverges to +/- infinity. Monotone likelihood primarily occurs in small samples with substantial censoring of survival times and several highly predictive covariates. Previous options to deal with monotone likelihood have been unsatisfactory. The solution we suggest is an adaptation of a procedure by Firth (1993, Biometrika 80, 27-38) originally developed to reduce the bias of maximum likelihood estimates. This procedure produces finite parameter estimates by means of penalized maximum likelihood estimation. Corresponding Wald-type tests and confidence intervals are available, but it is shown that penalized likelihood ratio tests and profile penalized likelihood confidence intervals are often preferable. An empirical study of the suggested procedures confirms satisfactory performance of both estimation and inference. The advantage of the procedure over previous options of analysis is finally exemplified in the analysis of a breast cancer study.     

Conditional estimation for generalized linear models when covariates are subject-specific parameters in a mixed model for longitudinal measurements

The relationship between a primary endpoint and features of longitudinal profiles of a continuous response is often of interest, and a relevant framework is that of a generalized linear model with covariates that are subject-specific random effects in a linear mixed model for the longitudinal measurements. Naive implementation by imputing subject-specific effects from individual regression fits yields biased inference, and several methods for reducing this bias have been proposed. These require a parametric (normality) assumption on the random effects, which may be unrealistic. Adapting a strategy of Stefanski and Carroll (1987, Biometrika74, 703-716), we propose estimators for the generalized linear model parameters that require no assumptions on the random effects and yield consistent inference regardless of the true distribution. The methods are illustrated via simulation and by application to a study of bone mineral density in women transitioning to menopause.