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.
Publié le : 1999-06-14
Classification:
least favourable submodel,
profile likelihood,
standard errors
@article{1172617197,
author = {Murphy, Susan A. and Van Der Vaart, Aad W.},
title = {Observed information in semi-parametric models},
journal = {Bernoulli},
volume = {5},
number = {6},
year = {1999},
pages = { 381-412},
language = {en},
url = {http://dml.mathdoc.fr/item/1172617197}
}
Murphy, Susan A.; Van Der Vaart, Aad W. Observed information in semi-parametric models. Bernoulli, Tome 5 (1999) no. 6, pp. 381-412. http://gdmltest.u-ga.fr/item/1172617197/