On the definition of likelihood function
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We discuss a general definition of likelihood function in terms of Radon-Nikodým derivatives. The definition is validated by the Likelihood Principle once we establish a result regarding the proportionality of likelihood functions under different dominating measures. This general framework is particularly useful when there exists no or more than one obvious choice for a dominating measure as in some infinite-dimensional models. We discuss the importance of considering continuous versions of densities and how these are related to the Likelihood Principle and the basic concept of likelihood. We also discuss the use of the predictive measure as a dominating measure in the Bayesian approach. Finally, some examples illustrate the general definition of likelihood function and the importance of choosing particular dominating measures in some cases.
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