Author： Javier Cabrera Vipul Devas Luisa Fernholz
Publisher： Taylor & Francis Ltd
ISSN： 0094-9655
Source： Journal of Statistical Computation and Simulation, Vol.75, Iss.2, 2005-02, pp. : 121-140
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Abstract
The method of target estimation developed by Cabrera and Fernholz [(1999). Target estimation for bias and mean square error reduction. The Annals of Statistics , 27 (3), 1080-1104.] to reduce bias and variance is applied to logistic regression models of several parameters. The expectation functions of the maximum likelihood estimators for the coefficients in the logistic regression models of one and two parameters are analyzed and simulations are given to show a reduction in both bias and variability after targeting the maximum likelihood estimators. In addition to bias and variance reduction, it is found that targeting can also correct the skewness of the original statistic. An example based on real data is given to show the advantage of using target estimators for obtaining better confidence intervals of the corresponding parameters. The notion of the target median is also presented with some applications to the logistic models.
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