Revista Colombiana de Estadística
Print version ISSN 0120-1751
In many statistical inference problems, there is interest in estimation of only some elements of the parameter vector that defines the adopted model. In general, such elements are associated to measures of location and the additional terms, known as nuisance parameters, to control the dispersion and asymmetry of the underlying distributions. To estimate all the parameters of the model and to draw inferences only on the parameters of interest. Depending on the adopted model, this procedure can be both algebraically is common and computationally very costly and thus it is convenient to reduce it, so that it depends only on the parameters of interest. This article reviews estimation methods in the presence of nuisance parameters and consider some applications in models recently discussed in the literature.
Keywords : Estimation; Nuisance parameter; Likelihood function; Sufficiency; Ancillarity.