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. Sonderforschungsbereich 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.

• Dokumententyp: Paper
• Keywords: Local Likelihood, Profile Likelihood, Semiparametric Models, Smoothing
• Fakultät: Mathematik, Informatik und Statistik > Statistik > Sonderforschungsbereich 386 ; Sonderforschungsbereiche > Sonderforschungsbereich 386
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• Sprache: Englisch