The Variance-Covariance Matrix of the Maximum Likelihood Estimator in Triangular Structural Systems: Consistent Estimation

Econometrica ◽  
1987 ◽  
Vol 55 (4) ◽  
pp. 977 ◽  
Author(s):  
Ingmar R. Prucha
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimator ◽  
Covariance Matrix ◽  
Structural Systems ◽  
Likelihood Estimator ◽  
Consistent Estimation ◽  
Variance Covariance Matrix

Covariance matrix of the bias-corrected maximum likelihood estimator in generalized linear models

2013 ◽  
Vol 55 (3) ◽  
pp. 643-652
Author(s):  
Gauss M. Cordeiro ◽  
Denise A. Botter ◽  
Alexsandro B. Cavalcanti ◽  
Lúcia P. Barroso
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimator ◽  
Covariance Matrix ◽  
Generalized Linear Models ◽  
Linear Models ◽  
Likelihood Estimator

scholarly journals Estimating the Covariance Matrix of the Maximum Likelihood Estimator Under Linear Cluster-Weighted Models

2021 ◽  
Author(s):  
Gabriele Soffritti
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimator ◽  
Covariance Matrix ◽  
Hessian Matrix ◽  
Asymptotic Covariance Matrix ◽  
Likelihood Estimator ◽  
Score Vector ◽  
Weighted Model ◽  
Tourism Flows ◽  
Linear Cluster

AbstractIn recent years, the research into cluster-weighted models has been intense. However, estimating the covariance matrix of the maximum likelihood estimator under a cluster-weighted model is still an open issue. Here, an approach is developed in which information-based estimators of such a covariance matrix are obtained from the incomplete data log-likelihood of the multivariate Gaussian linear cluster-weighted model. To this end, analytical expressions for the score vector and Hessian matrix are provided. Three estimators of the asymptotic covariance matrix of the maximum likelihood estimator, based on the score vector and Hessian matrix, are introduced. The performances of these estimators are numerically evaluated using simulated datasets in comparison with a bootstrap-based estimator; their usefulness is illustrated through a study aiming at evaluating the link between tourism flows and attendance at museums and monuments in two Italian regions.

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