Prior Distributions From Pseudo-Likelihoods in the Presence of Nuisance Parameters

Abstract

Consider a model parameterized by θ == (ψ, λ), where ψ is the parameter of interest. The problem of eliminating the nuisance parameter λ can be tackled by resorting to a pseudo-likelihood function L**(ψ) for ψ—namely, a function of ψ only and the data y with properties similar to those of a likelihood function. If one treats L**(ψ) as a true likelihood, the posterior distribution π**(ψ | y) ∝ π(ψ)L**(ψ) for ψ can be considered, where π(ψ) is a prior distribution on ψ. The goal of this article is to construct probability matching priors for a scalar parameter of interest only (i.e., priors for which Bayesian and frequentist inference agree to some order of approximation) to be used in π**(ψ || y). When L**(ψ) is a marginal, a conditional, or a modification of the profile likelihood, we show that π(ψ) is simply proportional to the square root of the inverse of the asymptotic variance of the pseudo-maximum likelihood estimator. The proposed priors are compared with the reference or Jeffreys’ priors in four examples.