Abstract
This paper introduces the concept of dual likelihood as a method of improving accuracy in inference situations depending on martingale estimating equations. Asymptotic results are given for the dual likelihood ratio statistic, and the structure of the family of alternatives is explored. Applications to survival analysis and also to time series, likelihood inference and independent observations are given. Connections to nonparametric likelihood (including empirical likelihood) are established.
Citation
Per Aslak Mykland. "Dual Likelihood." Ann. Statist. 23 (2) 396 - 421, April, 1995. https://doi.org/10.1214/aos/1176324527
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