Likelihood estimation after nonparametric transformation

Ying-Kuen Cheung and Jason P. Fine

Statistics & Probability Letters, 2001, vol. 55, issue 1, 1-7

Abstract: We propose a two-step likelihood estimation procedure for the coefficients in a semiparametric transformation model. A simple nonparametric estimator for the unknown transformation is substituted into the likelihood. The resulting maximiser is shown to be consistent and asymptotically normal. Numerical studies indicate that the estimator may be as precise as an efficient semiparametric procedure.

Keywords: Transformation; model; Pseudo-likelihood; Semiparametric; efficiency (search for similar items in EconPapers)
Date: 2001
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