Bias Reduction for the Maximum Likelihood Estimator of the Parameters of the Generalized Rayleigh Family of Distributions
AbstractWe derive analytic expressions for the biases, to O(n-1), of the maximum likelihood estimators of the parameters of the generalized Rayleigh distribution family. Using these expressions to bias-correct the estimators is found to be extremely effective in terms of bias reduction, and generally results in a small reduction in relative mean squared error. In general, the analytic bias-corrected estimators are also found to be superior to the alternative of bias-correction via the bootstrap.
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Bibliographic InfoPaper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 1111.
Length: 22 pages
Date of creation: 17 Nov 2011
Date of revision:
Note: ISSN 1485-6441
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Generalized Rayleigh distribution; maximum likelihood; bias; mean squared error; bias correction;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
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