Bias Reduction for the Maximum Likelihood Estimator of the Parameters of the Generalized Rayleigh Family of Distributions

Xiao Ling and David Giles

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 8, 1778-1792

Abstract: We derive analytic expressions for the biases, to O(n− 1), of the maximum likelihood estimators of the parameters of the generalized Rayleigh distribution family. Using these expressions to bias-correct the estimators is found to be extremely effective in terms of bias reduction, and generally results in a small reduction in relative mean squared error. In general, the analytic bias-corrected estimators are also found to be superior to the alternative of bias-correction via the bootstrap.

Date: 2014
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DOI: 10.1080/03610926.2012.675114

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