Conditional Likelihood for Exponential Family:

Suppose that the log-likelihood for the exponential family form

= ( ,

can be written in

l ( , y ) = t s b (
Also, suppose

). ).

l ( , y ) has a decomposition of the form

l ( , y ) = t s 1 + t s 2 b ( ,
Note:
The above decomposition can be achieved only if function of

is a linear is arbitrary

. The choice of nuisance parameter

and the inferences regarding parameterization chosen for

should be unaffected by the

The conditional likelihood of the data Y given

s 2 is

l ( | s 2 ) = t s 1 b ( , s 2
inferences regarding
Example :

),

which is independent of the nuisance parameter and may be used for

Y 1 ~ P (

), Y 2

~ P (

)
2

are

independent.

Suppose

2 = log = log ( 1

)
1

log ( 1 ) is the parameter

of interest and

1 = log ( 1 )

is the nuisance parameter. Then,

the log-likelihood is

l ( , 1 )

log e ( 1 + 2 ) 1y 1 = ( 1 +
2

)+

y2 2

y 1 log

( 1 ) +

y 2 log

( 2 ) ( 1 )

2 = 1 + 1 + y 1 log 1 y 2 [log ( 1 ) log ( = =

1

( 1 ) +
2

y 2 log

)] e ( 1 + e ) + ( y 1 + y 2 ) 1 s 1 + s 2 1 b ( , 1 )

+ y 2

s 1 = y 2 , s 2 = y 1 + y 2 , b ( , 1 ) = e 1 1 + e
Then, the conditional distribution of

).

Y 1 , Y 2 given s2 = Y1 +Y2 = m

1 B m , is + . Thus, 1 2
l ( | s 2 = m

)
2

1 y 1 log + 1 1 = y 1 log + 1 y 2 log

2 y log + 2 + 1 1 log y + 2 + 1 2 log + 1 + y 2 )

1 + 1

(y 1

1 + y 2 ) log 1 + exp (

= s 1 b ( , s 2

)
2

1 Q + 1 2 1 = 2 1+ 1

 1 ( ) b s s , log = 2 2 . 1 + exp ( ) where

Note:
We can choose the other nuisance parameters, for example,

2 = log ( 2 ), 3 = log ( 1 + 2 ), 4 = log ( 1 ) + log ( 2 ) .

l ( , 2

Thus, the log-likelihood is

( 1 + = y 1 + l ( , 4 )

(y1

)+

+ y 2 ) 2 e 2 1 + e

y 1 log ( 1 ) + y 2 log (

( y1

y2 )

( y1 +
2

y2 )

4 2e

cosh 2

No matter what parameterization is chosen for the nuisance parameter, the sufficient statistic
Example :

S 2 Y1 + Y2

has the same form.

Y 1 ~ B (1 ,

), Y 2

~ B (1 ,

are independent. Suppose

log 1 1 2 = log interest and 1 2 1 = log 1

Then, the log-likelihood is

is the parameter of

is the nuisance parameter.

 log 1y 1 (1 1 )

(1 2 )1 y ] = y 1 log ( 1 ) + (1 y 1 )log (1 1 ) + y 2 log ( 2 ) + (1 y 2 )log (1 2 )

1 y1

l ( ,

y2 2

2 1 y + log = y 1 log 2 1 1 1 + log (1 1 ) + log (1 2 )

1 2 = y 1 log y log 1 1 1 1 2 2 + ( y 1 + y 2 )log 1 + log (1 1 ) + log (1 2 = y 1 + ( y 1 + y 2 ) + log (1 1 ) + log (1 = s 1 + s 2 b ( ,

s1 = y 1 , s 2 = y 1 + y 2 ,

b ( , ) = [log (1 1 ) + log (1

)] .

Then, the conditional likelihood can be obtained based on the conditional distribution of

Y 1 , Y 2 given s2 = Y1 +Y2 = m, which is

the hypergeometric distribution.