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Bias Reduction for the Maximum Likelihood Estimator of the Parameters of the Generalized Rayleigh Family of Distributions

We 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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File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp1111.pdf
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Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 1111.

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Length: 22 pages
Date of creation: 17 Nov 2011
Date of revision:
Handle: RePEc:vic:vicewp:1111
Note: ISSN 1485-6441
Contact details of provider: 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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  1. Cordeiro, Gauss M. & Klein, Ruben, 1994. "Bias correction in ARMA models," Statistics & Probability Letters, Elsevier, vol. 19(3), pages 169-176, February.
  2. K.W. Clements & E.A. Selvanathan & S. Selvanathan, 1996. "Applied Demand Analysis: A survey," Economics Discussion / Working Papers 96-04, The University of Western Australia, Department of Economics.
  3. Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July.
  4. Meagher Kieron J & Teo Ernie G.S. & Wang Wen, 2008. "A Duopoly Location Toolkit: Consumer Densities Which Yield Unique Spatial Duopoly Equilibria," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 8(1), pages 1-23, April.
  5. Beenstock, Michael, 1995. "The stochastic economics of windpower," Energy Economics, Elsevier, vol. 17(1), pages 27-37, January.
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