Maximum integrated likelihood estimator of the interest parameter when the nuisance parameter is location or scale

The problem of estimation of an interest parameter in the presence of a nuisance parameter, which is either location or scale, is studied. Two estimators are considered: the usual maximum likelihood estimator and the estimator based on maximization of the integrated likelihood function. The estimators are compared, asymptotically, with respect to the bias and with respect to the mean squared error. The examples are given.

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Year of publication:	2014
Authors:	Zaigraev, A. ; Podraza-Karakulska, A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 88.2014, C, p. 99-106
Publisher:	Elsevier
Subject:	Maximum integrated likelihood estimator \| Maximum likelihood estimator \| Bias \| Mean squared error

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

Persistent link: https://www.econbiz.de/10010752953