Bias correction in a multivariate normal regression model with general parameterization

This paper derives the second-order biases of maximum likelihood estimates from a multivariate normal model where the mean vector and the covariance matrix have parameters in common. We show that the second order bias can always be obtained by means of ordinary weighted least-squares regressions. We conduct simulation studies which indicate that the bias correction scheme yields nearly unbiased estimators.

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Year of publication:	2009
Authors:	Patriota, Alexandre G. ; Lemonte, Artur J.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 15, p. 1655-1662
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023127