Observed information in semi-parametric models (Q1301748)
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scientific article; zbMATH DE number 1334556
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| English | Observed information in semi-parametric models |
scientific article; zbMATH DE number 1334556 |
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Observed information in semi-parametric models (English)
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30 January 2001
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This paper concerns the estimation of the asymptotic covariance matrix of semi-parametric maximum likelihood estimators by the observed profile information. It is shown that a discretized version of the second derivative of the profile likelihood function yields consistent estimators of minus of the efficient information matrix.
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least favourable submodels
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profile likelihood
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standard errors
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0.7847618460655212
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0.7767276167869568
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0.7682690620422363
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0.7587963342666626
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