Improved estimators in beta prime regression models

DOI10.1080/03610918.2021.1990322MaRDI QIDQ6181865zbMATH OpenOpenAlexFDO

Authors Francisco M. C. Medeiros, Mariana C. Araújo, Marcelo Bourguignon

Publication date 23 January 2024

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.11750

zbMATH Keywords

beta prime distributionbias correctionbootstrapdispersion covariatesmaximum-likelihood

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: In this paper, we consider the beta prime regression model recently proposed by cite{bour18}, which is tailored to situations where the response is continuous and restricted to the positive real line with skewed and long tails and the regression structure involves regressors and unknown parameters. We consider two different strategies of bias correction of the maximum-likelihood estimators for the parameters that index the model. In particular, we discuss bias-corrected estimators for the mean and the dispersion parameters of the model. Furthermore, as an alternative to the two analytically bias-corrected estimators discussed, we consider a bias correction mechanism based on the parametric bootstrap. The numerical results show that the bias correction scheme yields nearly unbiased estimates. An example with real data is presented and discussed.

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Cited in

(1)

• Bias correction for varying mean and dispersion in heteroscedastic symmetric nonlinear models

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