Projected score methods for approximating conditional scores
Projected score methods for approximating conditional scores
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用于近似条件分数的预测分数方法
DOI：
10.1093/biomet/83.1.1
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发表时间：
1996
期刊：
影响因子：
2.7
通讯作者：
B. Lindsay
中科院分区：
文献类型：
--
作者：
R. Waterman;B. Lindsay
本文扩展了Small & McLeish（1989）的投影评分法。它示出的条件得分函数可以近似，任意小的随机误差，在一个自然的基础上的空间的中心似然比。使用这个基础的效用是通过确定一个U-统计量表示定理和一类期望的基础元素的身份，使高阶渐近更容易处理。结果被应用到一个典型的指数家庭模型，在那里它表明，预计的分数估计滋扰参数可以提供一个准确的近似条件得分函数。
SUMMARY This paper extends the projected score methods of Small & McLeish (1989). It is shown that the conditional score function may be approximated, with arbitrarily small stochastic error, in terms of a natural basis for the space of centred likelihood ratios. The utility of using this basis is established by identifying a U-statistic representation theorem and a class of expectation identities for the basis elements, making higher order asymptotics more tractable. The results are applied to a canonical exponential family model, where it is shown that the projected scores with estimated nuisance parameters can provide an accurate approximation to the conditional score function.