Even More Direct Calculation of the Variance of a Maximum Penalized-Likelihood Estimator

Iain L. MacDonald and Brendon M. Lapham

The American Statistician, 2016, vol. 70, issue 1, 114-118

Abstract: We discuss here two examples of estimation by numerical maximization of penalized likelihood. We show that, in these examples, it is simpler not to use the EM algorithm for computation of the estimates or their standard errors. We discuss also confidence and credibility intervals based on penalized likelihood and a chi-squared approximate distribution, and compare such intervals with intervals of Wald type.[Received July 2014. Revised September 2015.]

Date: 2016
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DOI: 10.1080/00031305.2015.1105151

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