On the stability of maximum‐likelihood estimators of orthogonal parameters
- 1 June 1989
- journal article
- Published by Wiley in The Canadian Journal of Statistics / La Revue Canadienne de Statistique
- Vol. 17 (2) , 229-233
- https://doi.org/10.2307/3314851
Abstract
If two parameters ψ and λ, are orthogonal, λψ, the maximum‐likelihood estimate of λ for given ψ, varies only slowly with ψ in the neighbourhood of the overall maximum‐likelihood point. The same is true if ψλ is replaced by a nonlinear functionh(ψλ). The detailed form of the variation of ψλ with ψ is studied, and a basis suggested for choosing a particular functionh(ψλ) that shows the dependence in the least informative fashion.Keywords
This publication has 2 references indexed in Scilit:
- A time series illustration of approximate conditional likelihoodBiometrika, 1989
- Parameter Orthogonality and Approximate Conditional InferenceJournal of the Royal Statistical Society Series B: Statistical Methodology, 1987