Median bias reduction of maximum likelihood estimates

• 成果类型: Article
• 署名作者: Pagui, E. C. Kenne; Salvan, A.; Sartori, N.
• 署名单位: University of Padua
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asx046
• 发表日期: 2017
• 页码: 923938
• 关键词: exponential-families; profile likelihoods; parametric-estimation; point estimation; adjustment; distributions; intervals; ratio

摘要

For regular parametric problems, we show how median centring of the maximum likelihood estimate can be achieved by a simple modification of the score equation. For a scalar parameter of interest, the estimator is equivariant under interest-respecting reparameterizations and is third-order median unbiased. With a vector parameter of interest, componentwise equivariance and third-order median centring are obtained. Like the implicit method of Firth (1993) for bias reduction, the new method does not require finiteness of the maximum likelihood estimate and is effective in preventing infinite estimates. Simulation results for continuous and discrete models, including binary and beta regression, confirm that the method succeeds in achieving componentwise median centring and in solving the boundary estimate problem, while keeping comparable dispersion and the same approximate distribution as its main competitors.