On a Small Sample Adjustment for the Profile Score Function in Semiparametric Smoothing Models.
Sonderforschungsbereich 386, Discussion Paper 162
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.