Asymptotic properties of conditional maximum likelihood estimator in a certain exponential model

Hironori Fujisawa

Journal of Multivariate Analysis, 2003, vol. 86, issue 1, 126-142

Abstract: The conditional maximum likelihood estimator is suggested as an alternative to the maximum likelihood estimator and is favorable for an estimator of a dispersion parameter in the normal distribution, the inverse-Gaussian distribution, and so on. However, it is not clear whether the conditional maximum likelihood estimator is asymptotically efficient in general. Consider the case where it is asymptotically efficient and its asymptotic covariance depends only on an objective parameter in an exponential model. This remand implies that the exponential model possesses a certain parallel foliation. In this situation, this paper investigates asymptotic properties of the conditional maximum likelihood estimator and compares the conditional maximum likelihood estimator with the maximum likelihood estimator. We see that the bias of the former is more robust than that of the latter and that two estimators are very close, especially in the sense of bias-corrected version. The mean Pythagorean relation is also discussed.

Keywords: Asymptotic; efficiency; Bias; Differential; geometrical; approach; Kullback-Leibler; risk; Mean; Pythagorean; relation; Orthogonal; parameter; Parallel; foliation (search for similar items in EconPapers)
Date: 2003
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