Efficiency of projected score methods in rectangular array asymptotics
AbstractThe paper considers a rectangular array asymptotic embedding for multistratum data sets, in which both the number of strata and the number of within-stratum replications increase, and at the same rate. It is shown that under this embedding the maximum likelihood estimator is consistent but not efficient owing to a non-zero mean in its asymptotic normal distribution. By using a projection operator on the score function, an adjusted maximum likelihood estimator can be obtained that is asymptotically unbiased and has a variance that attains the Cramér-Rao lower bound. The adjusted maximum likelihood estimator can be viewed as an approximation to the conditional maximum likelihood estimator. Copyright 2003 Royal Statistical Society.
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Bibliographic InfoArticle provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series B (Statistical Methodology).
Volume (Year): 65 (2003)
Issue (Month): 1 ()
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