Second- and third-order bias reduction for one-parameter family models

In this paper we derive second- and third-order bias-corrected maximum likelihood estimates in general uniparametric models. We compare the corrected estimates and the usual maximum likelihood estimate in terms of their mean squared errors. We also obtain closed-form expressions for bias-corrected estimates in one-parameter exponential family models. Our results cover many important and commonly used distributions. Simulation results are also given.

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Year of publication:	1996
Authors:	Ferrari, Silvia L. P. ; Botter, Denise A. ; Cordeiro, Gauss M. ; Cribari-Neto, Francisco
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 30.1996, 4, p. 339-345
Publisher:	Elsevier
Keywords:	Asymptotic expansion Bias correction Exponential family Maximum likelihood estimate

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

Persistent link: https://www.econbiz.de/10005211887