Abstract
We discuss the estimation of the asymptotic covariance matrix of semi-parametric maximum likelihood estimators by the observed profile information. We show that a discretized version of the second derivative of the profile likelihood function yields consistent estimators of minus the efficient information matrix.
Citation
Susan A. Murphy. Aad W. Van Der Vaart. "Observed information in semi-parametric models." Bernoulli 5 (3) 381 - 412, June 1999.
Information