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

DOI10.3150/14-BEJ669MaRDI QIDQ5963512zbMATH OpenFDO

Authors Yuichi Hirose

Publication date 22 February 2016

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.01434, https://projecteuclid.org/euclid.bj/1443620861

zbMATH Keywords

profile likelihoodsemiparametric modelefficiencyefficient information boundefficient scoreimplicitly defined function

Mathematics Subject Classification ID

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

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.

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