Pointwise and functional approximations in Monte Carlo maximum likelihood estimation

Authors:
Anthony Y. C. Kuk;Yuk W. Cheng
Affiliations:
Department of Statistics, the University of New South Wales, Sydney, NSW 2052, Australia;Department of Statistics, the University of New South Wales, Sydney, NSW 2052, Australia
Venue:
Statistics and Computing
Year:
1999

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Abstract

We consider the use of Monte Carlo methods to obtain maximum likelihood estimates for random effects models and distinguish between the pointwise and functional approaches. We explore the relationship between the two approaches and compare them with the EM algorithm. The functional approach is more ambitious but the approximation is local in nature which we demonstrate graphically using two simple examples. A remedy is to obtain successively better approximations of the relative likelihood function near the true maximum likelihood estimate. To save computing time, we use only one Newton iteration to approximate the maximiser of each Monte Carlo likelihood and show that this is equivalent to the pointwise approach. The procedure is applied to fit a latent process model to a set of polio incidence data. The paper ends by a comparison between the marginal likelihood and the recently proposed hierarchical likelihood which avoids integration altogether.