1 / 6

Likelihood intervals vs. coverage intervals

Günter Zech. Likelihood intervals vs. coverage intervals. (What is better: exclude parameter with high likelihood by coverage interval or have bad coverage in a likelihood ratio interval?). Likelihood ratio. Coverage. Parameters are included if.

zohar
Download Presentation

Likelihood intervals vs. coverage intervals

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Günter Zech Likelihood intervals vs. coverage intervals (What is better: exclude parameter with high likelihood by coverage interval or have bad coverage in a likelihood ratio interval?) Likelihood ratio Coverage Parameters are included if observation has relatively high p.d.f. (competition) add log-likelihoods  single interval observation has high g.o.f.-probability (no competition) About 68 % of intervals contain true value. They cannot be combined.

  2. Observaten is off by >1 st.dev of H1 prediction but only half a st.dev off the H2 prediction Example: measurement H1: N(7.5, 2.5) H2: N(50, 100) t=10.1  LR=26 in favor of H1 Likelihood ratio favors hypothesis 1 Frequentist view excludes hypothesis 1 at 1 st. dev. but supports hypothesis 2

  3. Continuous version: Assume following theory: (includes discrete hypotheses H1 and H2 for specific values of m) H1 The likelihood ratio limit does not cover. The coverage inteval excludes hig likelihood values. What is preferable?

  4. Another illustration: Asume earthquake theory following a similar formula as shown in the previous slide with different constants, and specific parameter values: H1: predicts eathquake at 2008, Feb. 13 +- 1 day H2: predicts eathquake at 2010, Feb. 13 +- 2 years Assume earthquake happens at 2008, Feb. 15 Frequentist would exclude H1 by 2 st.dev.! It is clear that H1 should not be excluded but why exclude H2 even though the observation is only half a standard deviation off the prediction? Answer: Only one parameter is correct. If the parameter corresponding to H1 is very likely, H2 must be unlikely.

  5. Conclusion • Problems with coverage intervals: • They do not take into account that parameter values are exclusive. If Parameter 1 applies parameter 2 cannot. • They ignore the precision of a prediction. • The contain only part of the information provided by the data. • All this is due to the violation of the Likelihood Principle We should not require likelihood ratio intervals to cover. Coverage intervals excluding regions of high likelihood are very problematic.

  6. Some complementary remarks Overcoverage There is nothing wrong with conservative upper limits. (It is better to present a conservative limit than a doubtfull one) Including systematic errors More specifically: calibration uncertainties, theoretical uncertainties, uncertainties which are not improving with 1/sqrt(N) The only reasonable way is to invent a Bayesian p.d.f. and to integrate out the corresponding parameter. For upper limits one should be conservative. (It is better to overestimate the errors than to underestimate them. Priors Priors should incorporate prior knowledge and not be selected such that they produce the output you like.

More Related