Modified profile likelihood for inverse Gaussian shape

ID: modified-profile-likelihood-for-inverse-gaussian-shape

For independent Inverse Gaussian distributions with shape and mean , the constrained and full nuisance maximum-likelihood estimates both equal , giving a unit sample-coordinate Jacobian determinant. The nuisance observed information there is . Hence subtracting half its logarithm from the profile log-likelihood replaces the coefficient of by . For a nonconstant sample the modified fit is .

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