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

Silvia L. P. Ferrari, Denise A. Botter, Gauss M. Cordeiro and Francisco Cribari-Neto

Statistics & Probability Letters, 1996, vol. 30, issue 4, 339-345

Abstract: 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.

Keywords: Asymptotic; expansion; Bias; correction; Exponential; family; Maximum; likelihood; estimate (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (3)

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