An adjusted quasi-profile loglikelihood for a scalar parameter of interest is discussed. The corresponding quasi-profile score has bias which is asymptotically negligible. Because of this, it is likely to provide accurate inferences with small samples or many nuisance parameters. An application to robust M-estimation is presented, which gives rise to a robust adjusted quasi-profile loglikelihood.
Adjusted Quasi-Profile Likelihoods and Robustness
BRAZZALE, ALESSANDRA ROSALBA;VENTURA, LAURA
2001
Abstract
An adjusted quasi-profile loglikelihood for a scalar parameter of interest is discussed. The corresponding quasi-profile score has bias which is asymptotically negligible. Because of this, it is likely to provide accurate inferences with small samples or many nuisance parameters. An application to robust M-estimation is presented, which gives rise to a robust adjusted quasi-profile loglikelihood.
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