On the ML Estimation of the Correlation Parameter in Generalized Exponential Models
Helmut Waldl, Theodore E. Simos, George Psihoyios, Ch. Tsitouras, Zacharias A. Anastassi · AIP conference proceedings · 2011
Maximum likelihood estimation (ML) in Generalized Exponential models (GE) is an awkward task in many applications. Especially for small n and big r we observe a large bias of the ML of r. From the theoretical point of view this is not surprising since σ2 and r are not simultaneously identifiable [1]. We develop a bias reduction method and illustrate its effectiveness.