On a Small Sample Adjustment for the Profile Score Function in Semiparametric Smoothing Models

Kauermann, Göran (1999): On a Small Sample Adjustment for the Profile Score Function in Semiparametric Smoothing Models. Collaborative Research Center 386, Discussion Paper 162

Abstract

We consider the profile score function in models with smooth and parametric components. If local respectively weighted likelihood estimation is used for fitting the smooth component, the resulting profile likelihood estimate for the parametric component is asymptotically efficient as shown in Severini&Wong (Annals of Statist., 1992). However, as in solely parametric models the profile score function is not unbiased. We propose a small sample bias adjustment which results by extending the correction suggested in McCullagh&Tibshirani (JRSS B, 1990) to the framework of semiparametric models.

• Item Type: Paper (Research Paper)
• Keywords: Local Likelihood, Profile Likelihood, Semiparametric Models, Smoothing
• Collections: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics