Observed information in semi-parametric models (Q1301748)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Observed information in semi-parametric models |
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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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