The Annals of Statistics

Estimating Equations in the Presence of a Nuisance Parameter

V. P. Godambe and M. E. Thompson

Full-text: Open access

Abstract

Estimating equations for a real parameter $\theta$ which indexes a family of densities $p(x, \theta)$ were considered in the note by Godambe (Ann. Math. Statist. 31 (1960) 1208-1211). An optimality property of the equation $\partial \log p/\partial \theta = 0$ among unbiased estimating equations was established. In this paper an analogous result is proved for estimation of a real parameter $\theta_1$ in the presence of a nuisance parameter $\theta_2$.

Article information

Source
Ann. Statist., Volume 2, Number 3 (1974), 568-571.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176342718

Digital Object Identifier
doi:10.1214/aos/1176342718

Mathematical Reviews number (MathSciNet)
MR356335

Zentralblatt MATH identifier
0283.62029

JSTOR
links.jstor.org

Keywords
62.20 Estimating equations maximum likelihood estimation nuisance parameter

Citation

Godambe, V. P.; Thompson, M. E. Estimating Equations in the Presence of a Nuisance Parameter. Ann. Statist. 2 (1974), no. 3, 568--571. doi:10.1214/aos/1176342718. https://projecteuclid.org/euclid.aos/1176342718


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