Electronic Journal of Statistics

A generic algorithm for reducing bias in parametric estimation

Ioannis Kosmidis and David Firth

Full-text: Open access

Abstract

A general iterative algorithm is developed for the computation of reduced-bias parameter estimates in regular statistical models through adjustments to the score function. The algorithm unifies and provides appealing new interpretation for iterative methods that have been published previously for some specific model classes. The new algorithm can usefully be viewed as a series of iterative bias corrections, thus facilitating the adjusted score approach to bias reduction in any model for which the first-order bias of the maximum likelihood estimator has already been derived. The method is tested by application to a logit-linear multiple regression model with beta-distributed responses; the results confirm the effectiveness of the new algorithm, and also reveal some important errors in the existing literature on beta regression.

Article information

Source
Electron. J. Statist. Volume 4 (2010), 1097-1112.

Dates
First available: 15 October 2010

Permanent link to this document
http://projecteuclid.org/euclid.ejs/1287147913

Digital Object Identifier
doi:10.1214/10-EJS579

Mathematical Reviews number (MathSciNet)
MR2735881

Subjects
Primary: 62F10: Point estimation 62F12: Asymptotic properties of estimators
Secondary: 62F05: Asymptotic properties of tests

Keywords
Adjusted score asymptotic bias correction beta regression bias reduction fisher scoring prater gasoline data

Citation

Kosmidis, Ioannis; Firth, David. A generic algorithm for reducing bias in parametric estimation. Electronic Journal of Statistics 4 (2010), 1097--1112. doi:10.1214/10-EJS579. http://projecteuclid.org/euclid.ejs/1287147913.


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