Nearly unbiased estimation in a biparametric exponential family

We consider two analytical and a bootstrap bias correction scheme existing in the literature for maximum likelihood estimators (MLEs) in the special case of a particular biparametric exponential family, the estimators being obtained from i.i.d. samples. We assess the performances of the estimators t...

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Bibliographic Details
Published in:Journal of statistical computation and simulation 2008-01, Vol.78 (5), p.387-404
Main Authors: Vasconcellos, Klaus L. P., Dourado, Gilson B.
Format: Article
Language:English
Subjects:
Bias corrections
Biparametric exponential family
Maximum likelihood
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Summary:We consider two analytical and a bootstrap bias correction scheme existing in the literature for maximum likelihood estimators (MLEs) in the special case of a particular biparametric exponential family, the estimators being obtained from i.i.d. samples. We assess the performances of the estimators through numerical simulations for three particular cases of the family explored here. We observe that the two analytical proposals display very similar behavior for these distributions and that all proposed estimators are effective in reducing bias and mean square error of the MLEs.
ISSN:0094-9655
1563-5163
DOI:10.1080/00949650601115906