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Understanding and Addressing the Unbounded "Likelihood" Problem

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  • Shiyao Liu
  • Huaiqing Wu
  • William Q. Meeker

Abstract

The joint probability density function, evaluated at the observed data, is commonly used as the likelihood function to compute maximum likelihood estimates. For some models, however, there exist paths in the parameter space along which this density-approximation likelihood goes to infinity and maximum likelihood estimation breaks down. In all applications, however, observed data are really discrete due to the round-off or grouping error of measurements. The "correct likelihood" based on interval censoring can eliminate the problem of an unbounded likelihood. This article categorizes the models leading to unbounded likelihoods into three groups and illustrates the density-approximation breakdown with specific examples. Although it is usually possible to infer how given data were rounded, when this is not possible, one must choose the width for interval censoring, so we study the effect of the round-off on estimation. We also give sufficient conditions for the joint density to provide the same maximum likelihood estimate as the correct likelihood, as the round-off error goes to zero.

Suggested Citation

  • Shiyao Liu & Huaiqing Wu & William Q. Meeker, 2015. "Understanding and Addressing the Unbounded "Likelihood" Problem," The American Statistician, Taylor & Francis Journals, vol. 69(3), pages 191-200, August.
    • Handle: RePEc:taf:amstat:v:69:y:2015:i:3:p:191-200
    DOI: 10.1080/00031305.2014.1003968
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    References listed on IDEAS

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    1. Chen, Jiahua & Tan, Xianming, 2009. "Inference for multivariate normal mixtures," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1367-1383, August.
    2. Kim, Daeyoung & Seo, Byungtae, 2014. "Assessment of the number of components in Gaussian mixture models in the presence of multiple local maximizers," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 100-120.
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    Cited by:

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    2. Iain L. MacDonald, 2021. "Is EM really necessary here? Examples where it seems simpler not to use EM," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(4), pages 629-647, December.

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