Bias Reduction for the Maximum Likelihood Estimator of the Scale Parameter in the Half-Logistic Distribution

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Bias Reduction for the Maximum Likelihood Estimator of the Scale Parameter in the Half-Logistic Distribution

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David E. Giles () (Department of Economics, University of Victoria)

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David E. A. Giles

Abstract

We derive an analytic expression for the bias, to O(n-1) of the maximum likelihood estimator of the scale parameter in the half-logistic distribution. Using this expression to bias-correct the estimator is shown to be very effective in terms of bias reduction, without adverse consequences for the estimator’s precision. The analytic bias-corrected estimator is also shown to be dramatically superior to the alternative of bootstrap-bias-correction.

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Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0901.

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Length: 12 pages
Date of creation: 20 Jan 2009
Date of revision:
Handle: RePEc:vic:vicewp:0901

Note: ISSN 1485-6441
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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis
C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

This paper has been announced in the following NEP Reports:

NEP-ALL-2009-01-24 (All new papers)
NEP-DCM-2009-01-24 (Discrete Choice Models)
NEP-ECM-2009-01-24 (Econometrics)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Balakrishnan, N. & Chan, P. S., 1992. "Estimation for the scaled half logistic distribution under Type II censoring," Computational Statistics & Data Analysis, Elsevier, vol. 13(2), pages 123-141, March. [Downloadable!] (restricted)
Cordeiro, Gauss M. & Klein, Ruben, 1994. "Bias correction in ARMA models," Statistics & Probability Letters, Elsevier, vol. 19(3), pages 169-176, February. [Downloadable!] (restricted)
Adatia, A., 1997. "Approximate BLUEs of the parameters of the half logistic distribution based on fairly large doubly censored samples," Computational Statistics & Data Analysis, Elsevier, vol. 24(2), pages 179-191, April. [Downloadable!] (restricted)
Adatia, A., 2000. "Estimation of parameters of the half-logistic distribution using generalized ranked set sampling," Computational Statistics & Data Analysis, Elsevier, vol. 33(1), pages 1-13, March. [Downloadable!] (restricted)

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

David E. Giles & Hui Feng, 2009. "Bias of the Maximum Likelihood Estimators of the Two-Parameter Gamma Distribution Revisited," Econometrics Working Papers 0908, Department of Economics, University of Victoria. [Downloadable!]

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This page was last updated on 2009-11-25.

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