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

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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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File URL: http://web.uvic.ca/econ/research/papers/ewp0901.pdf
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Bibliographic Info

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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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
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Web page: http://web.uvic.ca/econ
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Keywords: Half-logistic distribution; Life testing; Bias reduction;

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References

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  1. 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.
  2. Cordeiro, Gauss M. & Klein, Ruben, 1994. "Bias correction in ARMA models," Statistics & Probability Letters, Elsevier, vol. 19(3), pages 169-176, February.
  3. 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.
  4. 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.
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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Bias-Corrected MLEs
    by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-05-01 16:03:00
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Cited by:
  1. Jacob Schwartz & David E. Giles, 2011. "Biased-Reduced Maximum Likelihood Estimation for the Zero-Inflated Poisson Distribution," Econometrics Working Papers 1102, Department of Economics, University of Victoria.
  2. 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.
  3. David E Giles & Hui Feng, 2011. "Reducing the bias of the maximum likelihood estimator for the Poisson regression model," Economics Bulletin, AccessEcon, vol. 31(4), pages 2933-2943.

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