On differentiability of implicitly defined function in semi-parametric profile likelihood estimation

DOI10.3150/14-BEJ669zbMATH Open1388.62080arXiv1601.01434MaRDI QIDQ5963512FDOQ5963512

Yuichi Hirose

Publication date: 22 February 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In this paper, we study the differentiability of implicitly defined functions which we encounter in the profile likelihood estimation of parameters in semi-parametric models. Scott and Wild (Biometrika 84 (1997) 57-71; J. Statist. Plann. Inference 96 (2001) 3-27) and Murphy and van der Vaart (J. Amer. Statist. Assoc. 95 (2000) 449-485) developed methodologies that can avoid dealing with such implicitly defined functions by parametrizing parameters in the profile likelihood and using an approximate least favorable submodel in semi-parametric models. Our result shows applicability of an alternative approach presented in Hirose (Ann. Inst. Statist. Math. 63 (2011) 1247-1275) which uses the direct expansion of the profile likelihood.

Full work available at URL: https://arxiv.org/abs/1601.01434

zbMATH Keywords

profile likelihoodsemiparametric modelefficiencyefficient information boundefficient scoreimplicitly defined function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• Introduction to empirical processes and semiparametric inference
• Title not available (Why is that?)
• The Asymptotic Variance of Semiparametric Estimators
• Title not available (Why is that?)
• A note on semiparametric efficient inference for two-stage outcome-dependent sampling with a continuous outcome
• An Estimated Likelihood Method for Continuous Outcome Regression Models With Outcome-Dependent Sampling
• Title not available (Why is that?)
• Applied functional analysis. Main principles and their applications
• On Profile Likelihood
• Fixed Point Theory for Lipschitzian-type Mappings with Applications
• Title not available (Why is that?)
• Maximum Likelihood Estimation in the Proportional Odds Model
• On concepts of directional differentiability
• Fitting regression models to case-control data by maximum likelihood
• Maximum likelihood for generalized case-control studies
• The various definitions of the derivative in linear topological spaces
• Large sample theory for semiparametric regression models with two-phase, outcome dependent sampling.
• Reparametrization of the least favorable submodel in semi-parametric multisample models
• Efficiency of profile likelihood in semi-parametric models

This page was built for publication: On differentiability of implicitly defined function in semi-parametric profile likelihood estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5963512)