Second-order biases of maximum likelihood estimates in overdispersed generalized linear models

Gauss M. Cordeiro and Denise A. Botter

Statistics & Probability Letters, 2001, vol. 55, issue 3, 269-280

Abstract: In this paper, we derive general formulae for second-order biases of maximum likelihood estimates in overdispersed generalized linear models, thus generalizing results by Cordeiro and McCullagh (J. Roy. Statist. Soc. Ser. B 53 (1991) 629), and Botter and Cordeiro (Statist. Comput. Simul. 62 (1998) 91). Our formulae cover many important and commonly used models and are easily implemented by means of supplementary weighted linear regressions. They are also simple enough to be used algebraically to obtain several closed-form expressions in special models. The practical use of such formulae is illustrated in a simulation study.

Keywords: Bias; correction; Exponential; family; Generalized; linear; model; Link; function; Maximum; likelihood; estimate; Overdispersion (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (4)

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