Open Access
Translator Disclaimer
June 1999 Observed information in semi-parametric models
Susan A. Murphy, Aad W. Van Der Vaart
Author Affiliations +
Bernoulli 5(3): 381-412 (June 1999).

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

Download Citation

Susan A. Murphy. Aad W. Van Der Vaart. "Observed information in semi-parametric models." Bernoulli 5 (3) 381 - 412, June 1999.

Information

Published: June 1999
First available in Project Euclid: 27 February 2007

zbMATH: 0954.62036
MathSciNet: MR1693616

Keywords: least favourable submodel , profile likelihood , standard errors

Rights: Copyright © 1999 Bernoulli Society for Mathematical Statistics and Probability

JOURNAL ARTICLE
32 PAGES


SHARE
Vol.5 • No. 3 • June 1999
Back to Top