Observed information in semi-parametric models

Susan A. Murphy; Aad W. Van Der Vaart

doi:bj/1172617197

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Home > Journals > Bernoulli > Volume 5 > Issue 3 > Article

June 1999 Observed information in semi-parametric models

Susan A. Murphy, Aad W. Van Der Vaart

Author Affiliations +

Susan A. Murphy,¹ Aad W. Van Der Vaart²
¹Department of Statistics, 440 Mason Hall
²Department of Mathematics, Free University Amsterdam

Bernoulli 5(3): 381-412 (June 1999).

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Abstract

We discuss the estimation of the asymptotic covariance matrix of semi-parametric maximum likelihood estimators by the observed profile information. We show that a discretized version of the second derivative of the profile likelihood function yields consistent estimators of minus the efficient information matrix.