Parameter estimation in semi-linear models using a maximal invariant likelihood function

DOI10.1016/J.JSPI.2008.07.011MaRDI QIDQ998984zbMATH OpenOpenAlexFDO

Authors Maxwell L. King, Jahar Lal Bhowmik

Publication date 30 January 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2005/wp18-05.pdf

zbMATH Keywords

tablesmaximum likelihood estimationtwo-step estimationnonlinear modellingsimulation experiment

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric regression and quantile regression (62G08) General nonlinear regression (62J02)

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• Consistent Estimates Based on Partially Consistent Observations
• Data Transformations and the Linear Model
• Estimation and testing of regression disturbances based on modified likelihood functions
• Marginal likelihood methods for distributed lag models
• Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters
• Maximal invariant likelihood based testing of semi-linear models
• Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
• Nonlinear Regression
• On a formula for the distribution of the maximum likelihood estimator
• Testing for autoregressive against moving average errors in the linear regression model

Cited in

(4)

• A maximum likelihood method for the incidental parameter problem
• Deriving tests of the semi-linear regression model using the density function of a maximal invariant
• Invariant Theory and Scaling Algorithms for Maximum Likelihood Estimation
• Maximal invariant likelihood based testing of semi-linear models

Describes a project that uses

Uses Software

• GAUSS

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