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Profile quasi-likelihood

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  • Lin, Lu
  • Zhang, Runchu

Abstract

In this paper, the only assumptions on the distribution of data are those concerning first two moments. Our purpose is to estimate the parameter of interest in the presence of nuisance parameter under these weak assumptions on the distribution. We define a quasi-least favorable curve and construct its estimator, and then yield a profile quasi-score function of the parameter of interest. The estimator of parameter of interest obtained from this score function is asymptotically efficient. On the other hand, we employ this method to estimate the parameter in the semiparametric model. In this model the nonparametric component plays the role of nuisance parameter and it takes values in a infinite-dimensional space. The method is also available for semiparametric model and the estimator obtained by the extension is asymptotically efficient.

Suggested Citation

  • Lin, Lu & Zhang, Runchu, 2002. "Profile quasi-likelihood," Statistics & Probability Letters, Elsevier, vol. 56(2), pages 147-154, January.
  • Handle: RePEc:eee:stapro:v:56:y:2002:i:2:p:147-154
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