5.

2 Modified Likelihood
There are 3 commonly used modified likelihood in solving nuisance
parameter problem. They are
Marginal likelihood
Conditional likelihood
Profile likelihood

(a)

Marginal likelihood

This likelihood function is based on a suitably chosen subset of the

complete data vector. The nuisance parameter can be eliminated by
working with the marginal likelihood function.
Example:
Y1
Y
Y 2 ~ N X , , i.e., Y X , ~ N 0, ,


Yn

where Y1 , Y2 , , Yn are observations at spatial locations, s1 , s2 , , sn

and is a known covariance function parameterized by . For
example,

si s j
ij , ij ij 1 , 2 12 exp

In this area, is the parameter of interest and is regarded as a

nuisance parameter. First, we can use the transformed response
R

Then,

R1
R
2


Rn

I X XtX

X t Y I P Y residuals

E R 0, V R I P I P .

Note the density function of R1 , R2 , , Rn is independent of and

only depends on . However, the covariance matrix
V R I P I P is singular. Therefore, we choose the matrix K
including the n p linearly independent column vectors of I P .
1

Then, the new response

R1

R K

R2

Y


Rn p

t
n p n

with K t X 0 . Then, K tY ~ N 0, K t K since

E K tY K t E Y 0, V K tY K tV Y K K t K .
Then, the marginal log-likelihood function is

1
1
1
log det K t K y t K K t K K t y
2
2
1
1
1

log det log det X t 1 X y t Sy

2
2
2

where

1
1
1
log det K t K
log det log det X t 1 X
2
2
2

and

K K t K

K t S 1 1 X X t 1 X

X t 1

(i.e., by the following theorem: if K t X 0 , where K t has maximum

row rank and V is positive definite, then

K K tVK

K t V 1 V 1 X X tV 1 X

X tV 1

)
Since

I P K

1 t
y K K t K
2

Kt y

1 t
y I P K K t K
2

1 t
R K K t K
2

K t I P y

KtR

then
l

1
1
1
log det log det X t 1 X R t SR .
2
2
2

Note:
The marginal log-likelihood is sometimes called the restricted loglikelihood. The maximum likelihood estimate obtained based on the
restricted log-likelihood is called restricted (or residual) maximum
2

likelihood estimate (REMLE).

Note:
As 2 I , the marginal log-likelihood is
1
n p log 2 1 RSS2 ,
2
2

where RSS is the residual sum of square. The above marginal loglikelihood is also equal to the marginal likelihood derived from the
transformed response RSS ~ 2 n2 p .