Maximum integrated likelihood estimator of the interest parameter when the nuisance parameter is location or scale

A. Zaigraev and A. Podraza-Karakulska

Statistics & Probability Letters, 2014, vol. 88, issue C, 99-106

Abstract: The problem of estimation of an interest parameter in the presence of a nuisance parameter, which is either location or scale, is studied. Two estimators are considered: the usual maximum likelihood estimator and the estimator based on maximization of the integrated likelihood function. The estimators are compared, asymptotically, with respect to the bias and with respect to the mean squared error. The examples are given.

Keywords: Maximum integrated likelihood estimator; Maximum likelihood estimator; Bias; Mean squared error (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.01.024

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