Open Access
April 2005 Selecting likelihood weights by cross-validation
Xiaogang Wang, James V. Zidek
Ann. Statist. 33(2): 463-500 (April 2005). DOI: 10.1214/009053604000001309


The (relevance) weighted likelihood was introduced to formally embrace a variety of statistical procedures that trade bias for precision. Unlike its classical counterpart, the weighted likelihood combines all relevant information while inheriting many of its desirable features including good asymptotic properties. However, in order to be effective, the weights involved in its construction need to be judiciously chosen. Choosing those weights is the subject of this article in which we demonstrate the use of cross-validation. We prove the resulting weighted likelihood estimator (WLE) to be weakly consistent and asymptotically normal. An application to disease mapping data is demonstrated.


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Xiaogang Wang. James V. Zidek. "Selecting likelihood weights by cross-validation." Ann. Statist. 33 (2) 463 - 500, April 2005.


Published: April 2005
First available in Project Euclid: 26 May 2005

zbMATH: 1068.62025
MathSciNet: MR2163148
Digital Object Identifier: 10.1214/009053604000001309

Primary: 62F10 , 62H12

Keywords: asymptotic normality , consistency , cross-validation , weighted likelihood

Rights: Copyright © 2005 Institute of Mathematical Statistics

Vol.33 • No. 2 • April 2005
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