Second and Third Order Bias Reduction for One{Parameter Family Models
نویسندگان
چکیده
In this paper we derive second and third order bias-corrected maximum likelihood estimates in general uniparametric models. We compare the corrected estimates and the usual maximum likelihood estimate in terms of their mean squared errors. We also obtain closed-form expressions for bias-corrected estimates in one-parameter exponential family models. Our results cover many important and commonly used distributions. Some key words: Asymptotic expansion; bias correction; exponential family; maximum likelihood estimate.
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