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Biometrika 1991 78(1):143-151; doi:10.1093/biomet/78.1.143
© 1991 by Biometrika Trust
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Orthogonality of estimating functions and nuisance parameters

V. P. GODAMBE

Department of Statistics and Actuarial Science, University of Waterloo Waterloo, Ontario, Canada N2L 3G1

Cox & Reid (1987) proposed the technique of orthogonalizing parameters, to deal with the general problem of nuisance parameters, within fully parametric models. They obtained a large-sample approximation to the conditional likelihood. Along the same lines Davison (1988) studied generalized linear models. In the present paper we deal with the problem of nuisance parameters, within a semiparametric setup which includes the class of distributions associated with generalized linear models. The technique used is that of optimum orthogonal estimating functions (Godambe & Thompson, 1989). The results are related to those of Cox & Reid (1987).

Key Words: Estimating function • Nuisance parameter • Optimality


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