A PARADOXICAL EFFECT OF NUISANCE PARAMETERS ON EFFICIENCY OF ESTIMATORS
A PARADOXICAL EFFECT OF NUISANCE PARAMETERS ON EFFICIENCY OF ESTIMATORS
复制标题
有害参数对估计器效率的矛盾影响
DOI：
--
复制
发表时间：
2004
期刊：
影响因子：
--
通讯作者：
Masayuki Henmi
中科院分区：
文献类型：
--
作者：
Masayuki Henmi
本文研究了存在干扰参数时的参数估计问题。通常，对于渐近方差而言，具有已知干扰参数的估计量要优于具有未知干扰参数的估计量。然而，有人指出，在某些情况下可能会发生相反的情况。本文利用估计函数的正交分解来说明这种现象何时以及如何发生。这种现象的大多数例子都是在半参数模型的情况下发现的，但这种现象也可以发生在参数模型中。作为一个例子，我们考虑了广义线性模型中色散参数的估计。
This paper is concerned with parameter estimation in the presence of nuisance parameters. Usually, an estimator with known nuisance parameters is better than that with unknown nuisance parameters in reference to the asymptotic variance. However, it has been noted that the opposite can occur in some situations. In this paper we elucidate when and how this phenomenon occurs using the orthogonal decomposition of estimating functions. Most of the examples of this phenomenon are found in the case of semiparametric models, but this phenomenon can also occur in parametric models. As an example, we consider the estimation of the dispersion parameter in a generalized linear model.
影响因子：
1.9
作者：
ROBINS, JM;MARK, SD;NEWEY, WK
通讯作者：
NEWEY, WK