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 $\theta_2$.
Publié le : 1974-05-14
Classification:
62.20,
Estimating equations,
maximum likelihood estimation,
nuisance parameter
@article{1176342718,
author = {Godambe, V. P. and Thompson, M. E.},
title = {Estimating Equations in the Presence of a Nuisance Parameter},
journal = {Ann. Statist.},
volume = {2},
number = {1},
year = {1974},
pages = { 568-571},
language = {en},
url = {http://dml.mathdoc.fr/item/1176342718}
}
Godambe, V. P.; Thompson, M. E. Estimating Equations in the Presence of a Nuisance Parameter. Ann. Statist., Tome 2 (1974) no. 1, pp. 568-571. http://gdmltest.u-ga.fr/item/1176342718/