Bias of the Maximum Likelihood Estimator of the Generalized Rayleigh Distribution.

摘要

We derive analytic expressions for the biases, to O( n-1) of the maximum likelihood estimators of the parameters of the generalized Rayleigh distribution family. Using these expressions to bias-correct the estimators is found to be extremely effective in terms of bias reduction, and generally results in a small reduction in relative mean squared error. In general, the analytic bias-corrected estimators are also found to be superior to the alternative of bias-correction via the bootstrap.