Application of asymptotic expansions of maximum likelihood estimators errors to gravitational waves from binary mergers: the single interferometer case

In this paper we describe a new methodology to calculate analytically the error for a maximum likelihood estimate (MLE) for physical parameters from Gravitational wave signals. All the existing litterature focuses on the usage of the Cramer Rao Lower bounds (CRLB) as a mean to approximate the errors for large signal to noise ratios. We show here how the variance and the bias of a MLE estimate can be expressed instead in inverse powers of the signal to noise ratios where the first order in the variance expansion is the CRLB. As an application we compute the second order of the variance and bias for MLE of physical parameters from the inspiral phase of binary mergers and for noises of gravitational wave interferometers . We also compare the improved error estimate with existing numerical estimates. The value of the second order of the variance expansions allows to get error predictions closer to what is observed in numerical simulations. It also predicts correctly the necessary SNR to approximate the error with the CRLB and provides new insight on the relationship between waveform properties SNR and estimation errors. For example the timing match filtering becomes optimal only if the SNR is larger than the kurtosis of the gravitational wave spectrum

A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter

This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is conducted for covariance structure models. Empirical likelihood offers much reduced mean and median bias, root mean squared error and mean absolute error, as compared with two-step GMM and other GEL methods. Both analytical and bootstrap bias-adjusted two-step GMM estima-tors are compared. Analytical bias-adjustment appears to be a serious competitor to bootstrap methods in terms of finite sample bias, root mean squared error and mean absolute error. Finite sample variance seems to be little affected

Bartlett-type Correction of Distance Metric Test

We derive a corrected distance metric (DM) test of general restrictions. The correction factor depends on the value of the uncorrected statistic and the new statistic is Bartlett-type. In the setting of covariance structure models, we show using simulations that the quality of the new approximation is good and often remarkably good. Especially at around the 95th percentile, the distribution of the corrected test statistic is strikingly close to the relevant asymptotic distribution. This is true for various sample sizes, distributions, and degrees of freedom of the model. As a by-product we provide an intuition for the well-known observation in labor economic applications that using longer panels results in a reversal of the original inference.Distance Metric, GMM, Asymptotic expansion, Bartlett-type correction