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Estimation of a Variance Function, with Application to Immunoassay

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  • Gillian M. Raab

Abstract

The problem of estimating variances by pooling information from a large number of small samples is tackled. Maximum likelihood methods are shown to be inconsistent, but a modified maximum likelihood method is described which gives consistent estimators. A modified likelihood ratio test of fit is also developed, and the application of these results to immunoassay data is described. Comparison with a regression method shows that if the variance function is given by an exponential model, and the observations are in sets of 2, 3 or 4, the modified maximum likelihood method has much greater efficiency.

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  • Gillian M. Raab, 1981. "Estimation of a Variance Function, with Application to Immunoassay," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 30(1), pages 32-40, March.
    • Handle: RePEc:bla:jorssc:v:30:y:1981:i:1:p:32-40
    DOI: 10.2307/2346655
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    Cited by:

    1. Iourii Manovskii & Marcus Hagedorn, 2011. "Search Frictions and Wage Dispersion," 2011 Meeting Papers 1195, Society for Economic Dynamics.

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