Matches in SemOpenAlex for { <https://semopenalex.org/work/W4287029450> ?p ?o ?g. }
Showing items 1 to 50 of
50
with 100 items per page.
- W4287029450 abstract "This paper presents some new results on maximum likelihood of incomplete data. Finite sample properties of conditional observed information matrices are established. In particular, they possess the same Loewner partial ordering properties as the expected information matrices do. In its new form, the observed Fisher information (OFI) simplifies conditional expectation of outer product of the complete-data score function appearing in the Louis (1982) general matrix formula. It verifies positive definiteness and consistency to the expected Fisher information as the sample size increases. Furthermore, it shows a resulting information loss presented in the incomplete data. For this reason, the OFI may not be the right (consistent and efficient) estimator to derive the standard error (SE) of maximum likelihood estimates (MLE) for incomplete data. A sandwich estimator of covariance matrix is developed to provide consistent and efficient estimates of SE. The proposed sandwich estimator coincides with the Huber sandwich estimator for model misspecification under complete data (Huber, 1967; Freedman, 2006; Little and Rubin, 2020). However, in contrast to the latter, the new estimator does not involve OFI which notably gives an appealing feature for application. Recursive algorithms for the MLE, the observed information and the sandwich estimator are presented. Application to parameter estimation of a regime switching conditional Markov jump process is considered to verify the results. The recursive equations for the inverse OFI generalizes the algorithm of Hero and Fessler (1994). The simulation study confirms that the MLEs are accurate and consistent having asymptotic normality. The sandwich estimator produces standard error of the MLE close to their analytic values compared to those overestimated by the OFI." @default.
- W4287029450 created "2022-07-25" @default.
- W4287029450 creator A5082759935 @default.
- W4287029450 date "2021-08-02" @default.
- W4287029450 modified "2023-09-24" @default.
- W4287029450 title "Some results on maximum likelihood of incomplete data: finite sample properties, consistent sandwich estimator of covariance matrix and recursive algorithms" @default.
- W4287029450 hasPublicationYear "2021" @default.
- W4287029450 type Work @default.
- W4287029450 citedByCount "0" @default.
- W4287029450 crossrefType "posted-content" @default.
- W4287029450 hasAuthorship W4287029450A5082759935 @default.
- W4287029450 hasBestOaLocation W42870294501 @default.
- W4287029450 hasConcept C105795698 @default.
- W4287029450 hasConcept C11413529 @default.
- W4287029450 hasConcept C164172150 @default.
- W4287029450 hasConcept C165646398 @default.
- W4287029450 hasConcept C178650346 @default.
- W4287029450 hasConcept C185142706 @default.
- W4287029450 hasConcept C185429906 @default.
- W4287029450 hasConcept C28826006 @default.
- W4287029450 hasConcept C29406490 @default.
- W4287029450 hasConcept C33923547 @default.
- W4287029450 hasConcept C35594927 @default.
- W4287029450 hasConceptScore W4287029450C105795698 @default.
- W4287029450 hasConceptScore W4287029450C11413529 @default.
- W4287029450 hasConceptScore W4287029450C164172150 @default.
- W4287029450 hasConceptScore W4287029450C165646398 @default.
- W4287029450 hasConceptScore W4287029450C178650346 @default.
- W4287029450 hasConceptScore W4287029450C185142706 @default.
- W4287029450 hasConceptScore W4287029450C185429906 @default.
- W4287029450 hasConceptScore W4287029450C28826006 @default.
- W4287029450 hasConceptScore W4287029450C29406490 @default.
- W4287029450 hasConceptScore W4287029450C33923547 @default.
- W4287029450 hasConceptScore W4287029450C35594927 @default.
- W4287029450 hasLocation W42870294501 @default.
- W4287029450 hasOpenAccess W4287029450 @default.
- W4287029450 hasPrimaryLocation W42870294501 @default.
- W4287029450 hasRelatedWork W14766141 @default.
- W4287029450 hasRelatedWork W21297838 @default.
- W4287029450 hasRelatedWork W28405484 @default.
- W4287029450 hasRelatedWork W37288673 @default.
- W4287029450 hasRelatedWork W45539074 @default.
- W4287029450 hasRelatedWork W47443681 @default.
- W4287029450 hasRelatedWork W48274260 @default.
- W4287029450 hasRelatedWork W53412369 @default.
- W4287029450 hasRelatedWork W5569312 @default.
- W4287029450 hasRelatedWork W44352276 @default.
- W4287029450 isParatext "false" @default.
- W4287029450 isRetracted "false" @default.
- W4287029450 workType "article" @default.