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期刊论文

Pro le quasi-likelihood☆

张润楚Lu Lin Runchu Zhang

Statistics & Probability Letters 56(2002)147-154,-0001,():

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摘要/描述

this paper, the only assumptions on the distribution of data are those concerning rst 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 de ne a quasi-least favorable curve andconstruct its estimator, andthen yielda pro le quasi-score function of the parameter of interest. The estimator of parameter of interest obtainedfrom this score function is asymptotically e1cient. 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 andit takes values in a in nite-dimensional space. The methodis also available for semiparametric model andthe estimator obtainedby the extension is asymptotically e1cient.

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