Are likelihood approaches frequentist?
Dave Hewitt wrote:
As Ben pointed out, the key difference between pure likelihood approaches and frequentist approaches is the addition of a layer of "significance" assessment based on the idea of repeated experimentation. (The term "frequentist" has been stretched in a variety of directions now, perhaps due to lazy writing, so sometimes it is unclear what's included under the umbrella.)
I think Donald Rubin gave the right term: sampling-distribution inference, because it is an inference based on inspection of the sample space. Frequentist is not precise because a likelihoodist can subscribe to a strictly frequentist view of probabilities (e.g. Edwards) but still think that probabilities are not the correct tool for inferential statements.
In his 2001 book "In All Likelihood: Statistical Modelling and Inference Using Likelihood", Yudi Pawitan refers to pure likelihood inference as "Fisher's third way", a compromise between frequentist and Bayesian approaches that began with Fisher himself. Inference based strictly on the likelihood function is not probabilistic, so would not conform to either of these two other paradigms.
It seems to me that in the area of inference, Fisher had three offspring: significance tests/confidence intervals, direct-likelihood and fiducial inference. W.r.t. the first child he was a bit embarrassed. He wrote in his 1959 book "Objection has sometimes been made that the method of calculating Confidence Limits by setting an assigned value such as 1% on the frequency of observing [the test statistic] or less [...] is unrealistic in treating the values less than [the test statistic] which have not been observed , in exactly the same manner as the value of the [the test statistic] which is the one that has been observed. This feature is indeed not very defensible, save as an approximation" (p. 68). His favorite child appeared to be fiducial inference, but not many people understood this. It looks like his favorite was ignored, while the one he was a bit embarrassed about prospered. But we have to see what happens with the other child, direct-likelihood, maybe it prevails at the end of the day. [snip] Rub?n