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Profile likelihood

Cross Validated Asked by denby47 on December 18, 2021

I am considering a normal distribution with mean $beta_1 + beta_2exp(-phi x)$ and variance $sigma^2$, i.e. $y sim N(beta_1 + beta_2exp(-phi x), sigma^2) $.

My aim is to calculate the profile log likelihood $L_ast(sigma)$ for $sigma$.

I have calculated the log likelihood to be of the form:

$-frac{n}{2}log(2 pi) – n log(sigma) – frac{1}{2 sigma^2} sumlimits_{i=1}^n {(y_i – beta_1 – beta_2exp(-phi x))^2}$

where $n$ is the number of data points

I am trying to show that $L_ast(sigma)$ is of the form $-n log(sigma) – frac{n hat{sigma}^2}{2 sigma^2}$ and then find an expression for $hat{sigma}^2$.

I know that the idea of profile likelihood here is to fix $sigma$ and maximise with respect to the other parameters, i.e. $beta_1, beta_2$ and $phi$. However I have been suggested not to do this by differentiating the likelihood function with respect to these parameters.

I was wondering if anyone had ideas of the best way to go about doing this?

One Answer

Why do you want this? In this model, the maximum likelihood estimators of the regression parameters $beta_1, beta_2, phi$ do not depend on $sigma^2$, so the profile likelihood function for $sigma^2$ is only a constant, so profile likelihood reduces to the normal likelihood theory. What do you want to do, really? A profile likelihood for one of the regression parameters will be useful, but not for the variance. Profile likelihood here is usually used for eliminating $sigma^2$, not for eliminating the regression parameters.

Answered by kjetil b halvorsen on December 18, 2021

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