On a formula for the distribution of the maximum likelihood estimator

DOI10.1093/BIOMET/70.2.343zbMATH Open0532.62006OpenAlexW2161364915WikidataQ64388443 ScholiaQ64388443MaRDI QIDQ3314725FDOQ3314725

Authors: Ole E. Barndorff-Nielsen 

Publication date: 1983

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/70.2.343

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zbMATH Keywords

informationquasilikelihoodstable distributionsaddlepoint approximationinvariant measuremaximal invariantmodified profile likelihoodancillarityconditionalityhyperboloid modelcomposite transformation modelselimination of nuisance parametersbivariate generalization of inverse Gaussian distributionconditional distribution of maximum likelihood estimator

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10) Asymptotic distribution theory in statistics (62E20)

Cited In (only showing first 100 items - show all)

• Model selection in the presence of incidental parameters
• Estimating generalized semiparametric additive models using parameter cascading
• Comparing Two Population Means and Variances: A Parametric Robust Way
• Robust Inference for the Correlation Coefficient—A Parametric Method
• Dealing with monotone likelihood in a model for speckled data
• Beyond first-order asymptotics for Cox regression
• Normed likelihood as saddlepoint approximation
• Robust Poisson regression
• Saddlepoint approximations for the probability of ruin in finite time
• Estimation and testing of regression disturbances based on modified likelihood functions
• Estimating functions for repeated measures with incidental parameters
• An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
• Higher order density approximations for solutions to estimating equations
• Modern Likelihood‐Frequentist Inference
• Likelihood and higher‐order approximations to tail areas: A review and annotated bibliography
• Title not available (Why is that?)
• A modification of profile empirical likelihood for the exponential-tilt model
• Modifications of REML algorithm for HGLMs
• On the equivalence between conditional and random-effects likelihoods in exponential families
• Improved profile likelihood inference
• Fiducial, confidence and objective Bayesian posterior distributions for a multidimensional parameter
• Interval estimations of the two-parameter exponential distribution
• Approximation for the conditional distribution of the MLE with application to autoregression
• Likelihood-based inference for the ratios of regression coefficients in linear models
• Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
• On standardizing the signed root log likelihood ratio statistic
• Mixed model prediction and small area estimation. (With comments of P. Hall, D. Morales, C. N. Morris, J. N. K. Rao, and J. L. Eltinge)
• Adjustments of the profile likelihood from a new perspective
• Integrated likelihood methods for eliminating nuisance parameters. (With comments and a rejoinder).
• Monte Carlo modified profile likelihood in models for clustered data
• Estimating and Testing the Common Mean Direction of Several von MISES-FISHER Populations with Known Concentrations
• Bias reduction of likelihood estimators in semiparametric frailty models
• Accurate higher-order likelihood inference on \(P(Y<X)\)
• Likelihood inference in complex settings
• A smoothing principle for the Huber and other location \(M\)-estimators
• Meta-analysis of diagnostic studies based upon SROC-curves: a mixed model approach using the Lehmann family
• Simple and accurate one-sided inference from signed roots of likelihood ratios
• Maximum likelihood estimator of the scale parameter for the Riesz distribution
• Parameter estimation and inference in the linear mixed model
• An orthogonality-based estimation of moments for linear mixed models
• On preferred point geometry in statistics
• An expansion for the maximum likelihood estimator of location and its distribution function
• Adjusted profile likelihoods for the weibull shape parameter
• Improved prediction intervals and distribution functions
• Selection of error probability laws by generalized modified profile likelihood
• Quantifying nuisance parameter effects via decompositions of asymptotic refinements for likelihood-based statistics
• Asymptotics and the theory of inference
• Asymptotic properties of a conditional maximum‐likelihood estimator
• A regularized profile likelihood approach to covariance matrix estimation
• Accurate parametric inference for small samples
• Mean and median bias reduction in generalized linear models
• Construction of multivariate dispersion models
• Closed-form likelihoods for stochastic differential equation growth models
• Multivariate distributions with generalized inverse gaussian marginals, and associated poisson mixtures
• On Birnbaum-Saunders inference
• On Formulas for the Distribution of Nonlinear L.S. Estimates
• Asymptotic ancillarity and conditional inference for stochastic processes
• Rejoinder: ``Likelihood inference for models with unobservables: another view
• Asymptotic expansions at work
• Adjustments of profile likelihood through predictive densities
• Multivariate dispersion models
• The p-value Function and Statistical Inference
• Improved likelihood inference for the shape parameter in Weibull regression
• A matching prior for the shape parameter of the skew-normal distribution
• Bartlett identities and large deviations in likelihood theory
• Almost-exact parametric bootstrap calculation via the saddlepoint approximation
• Computation of distribution functions from likelihood information near observed data
• Improved Birnbaum-Saunders inference under type II censoring
• Objective Bayesian higher-order asymptotics in models with nuisance parameters
• Statistical inference in two-sample summary-data Mendelian randomization using robust adjusted profile score
• Groups acting on Gaussian graphical models
• Restricted maximum likelihood estimation of joint mean-covariance models
• Bootstrap confidence intervals. With comments and a rejoinder by the authors
• Recent developments in bootstrap methodology
• Contemporary frequentist views of the \(2\times 2\) binomial trial
• The estimating function bootstrap
• The density of the parameter estimators when the observations are distributed exponentially
• An introduction to Bent Jørgensen's ideas
• A useful reparameterization for the reliability in the Weibull case
• Modified profile likelihood for fixed-effects panel data models
• Inferential estimation, likelihood, and linear pivotals
• Alternatives to the usual likelihood ratio test in mixed linear models
• Views on conditional and marginal methods of statistical inference
• Likelihood functions based on parameter-dependent functions
• Circular functional relationships
• MULTIMODALITY p**-FORMULA AND CONFIDENCE REGIONS
• On testing inference in beta regressions
• Objective Bayesian analysis using modified profile likelihood for the ratio of two log-normal means
• Invited discussion paper small-sample distributional properties of nonlinear regression estimators (a geometric approach)
• Parameter estimation in semi-linear models using a maximal invariant likelihood function
• A matching prior based on the modified profile likelihood for the common mean in multiple log-normal distributions
• Assessing skewness, kurtosis and normality in linear mixed models
• Integrated likelihood based inference for nonlinear panel data models with unobserved effects
• Comparisons of approximate tail probabilities for the shape parameter of the gamma distribution.
• Small sample asymptotics: A review with applications to robust statistics
• Integrated likelihood computation methods
• The maximum likelihood estimations for a type of left ellipsoidal distribution
• Title not available (Why is that?)
• Inducement of population sparsity
• Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence

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