Effect of imprecisely known nuisance parameters on estimates of primary parameters
Titel:
Effect of imprecisely known nuisance parameters on estimates of primary parameters
Auteur:
Spall, James C.
Verschenen in:
Communications in statistics
Paginering:
Jaargang 18 (1989) nr. 1 pagina's 219-237
Jaar:
1989
Inhoud:
Let the model under consideration have two types of parameters, α and θ, where α represents the nuisance parameters and θ represents the primary parameters (or parameters of interest). We will suppose that θ is estimated after α has been fixed at some value[image omitted] , and that [image omitted] is determined from information other than that used to form the estimate for θ[image omitted] . This paper examines the properties of [image omitted] in the presence of uncertainty in the assumed value for ∝. In particular, we consider: (1) the effect of the uncertainty in [image omitted] on the dispersion matrix, and hence confidence intervals, for [image omitted] ; and (2) the effect of [image omitted] on the asymptotic properties of [image omitted] . The results of this paper are developed in a multivariate setting and apply to a broad class of estimators, including maximum likelihood, maximum a posteriori, and least squares.
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