Representation of Certain Covariance Matrices with Application to Asymptotic Efficiency
研究了用部分最大似然方程替换构造新估计量时，其协方差矩阵与信息矩阵的关系，并应用于伽马分布参数估计，比较了新估计量的效率。
Abstract Although maximum likelihood estimates are asymptotically efficient, they are often very hard to find. Replacement of some, but not all, of the equations in the maximum likelihood system may make it more manageable. The covariance matrices of the new estimator and of the estimating functions will have special structure in relation to the information matrix. These relationships are characterized and various properties that pertain to multiparameter efficiency are developed. Application is made to the estimation of parameters from the gamma distribution. Some new estimators are found and their efficiencies are compared.