Quasi-Profile Log Likelihoods for Unbiased Estimating Functions |
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Authors: | G Adimari L Ventura |
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Institution: | (1) Dipartimento di Scienze Statistiche, Università di Padova, via C. Battisti 241, 35121 Padova, Italy |
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Abstract: | This paper presents a new quasi-profile loglikelihood with the standard kind of distributional limit behaviour, for inference about an arbitrary one-dimensional parameter of interest, based on unbiased estimating functions. The new function is obtained by requiring the corresponding quasi-profile score function to have bias and information bias of order O(1). We illustrate the use of the proposed pseudo-likelihood with an application to robust inference in linear models. |
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Keywords: | Estimating equation M-estimator profile likelihood quasi-likelihood second Bartlett identity |
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