Note on information bias and efficiency of composite likelihood

Abstract

Does the asymptotic variance of the maximum composite likelihood estimator of a parameter of interest always decrease when the nuisance parameters are known? Will a composite likelihood necessarily become more efficient by incorporating addi- tional independent component likelihoods, or by using component likelihoods with higher dimension? In this note we show through illustrative examples that the an- swer to both questions is no, and indeed the opposite direction might be observed. The role of information bias is highlighted to understand the occurrence of these paradoxical phenomenon.