Bias correction in a multivariate normal regression model with general parameterization

DOI10.1016/J.SPL.2009.04.018MaRDI QIDQ2270864zbMATH OpenOpenAlexFDO

Authors Alexandre G. Patriota, Artur J. Lemonte

Publication date 29 July 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0812.3612

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Abstract: This paper develops a bias correction scheme for a multivariate normal model under a general parameterization. In the model, the mean vector and the covariance matrix share the same parameters. It includes many important regression models available in the literature as special cases, such as (non)linear regression, errors-in-variables models, and so forth. Moreover, heteroscedastic situations may also be studied within our framework. We derive a general expression for the second-order biases of maximum likelihood estimates of the model parameters and show that it is always possible to obtain the second order bias by means of ordinary weighted lest-squares regressions. We enlighten such general expression with an errors-in-variables model and also conduct some simulations in order to verify the performance of the corrected estimates. The simulation results show that the bias correction scheme yields nearly unbiased estimators. We also present an empirical ilustration.

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Cited in

(23)

• Bias correction for a class of multivariate nonlinear regression models
• Improved estimation in a general multivariate elliptical model
• Closed-form and bias-corrected estimators for the bivariate gamma distribution
• Improved estimation for a new class of parametric link functions in binary regression
• Improved maximum-likelihood estimation in a regression model with general parametrization
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• Birnbaum-Saunders nonlinear regression models

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Uses Software

• Ox
• R
• bootstrap

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