Maximum integrated likelihood estimator of the interest parameter when the nuisance parameter is location or scale |
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| Affiliation: | 1. Vologda State University, Russia;2. Institute of Informatics Problems, Russian Academy of Sciences, Russia;3. Institute of Socio-Economic Development of Territories, RAS, Russia;4. Faculty of Computational Mathematics and Cybernetics, Lomonosov Moscow State University, Russia;1. Institute of Statistics, National Chung Hsing University, Taichung 402, Taiwan;2. Department of Public Health, China Medical University, Taichung 404, Taiwan;3. Department of Mathematics & Statistics, University of Guelph, Ontario N1G 2W1, Canada |
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| Abstract: | The problem of estimation of an interest parameter in the presence of a nuisance parameter, which is either location or scale, is studied. Two estimators are considered: the usual maximum likelihood estimator and the estimator based on maximization of the integrated likelihood function. The estimators are compared, asymptotically, with respect to the bias and with respect to the mean squared error. The examples are given. |
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| Keywords: | Maximum integrated likelihood estimator Maximum likelihood estimator Bias Mean squared error |
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