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Lunardon, Nicola (2015) On penalised likelihood and bias reduction. [Working Paper] WORKING PAPER SERIES, 4/2015 . , PADOVA (Inedito)

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Abstract (english)

We propose a likelihood function endowed with a penalisation that reduces the bias of the maximum likelihood estimator in regular parametric models. The penalisation hinges on the first two derivatives of the log likelihood and can be computed numerically. The asymptotic properties and the sensitivity to nuisance parameters of the penalised likelihood and derived quantities are addressed. In models for stratfied data in a two-index asymptotic setting, the bias of the penalised profile score function is found to be equivalent to the bias of a modified profile score function.

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EPrint type:Working Paper
Anno di Pubblicazione:November 2015
Key Words:Bartlett identity, Bias reduction, Incidental parameter, Jeffreys prior, Modified profile likelihood, Penalised likelihood, Profile likelihood, Profile score bias, Stratified data, Two-index asymptotics
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:8996
Depositato il:26 Nov 2015 14:41
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