A ug 2 00 7 On the estimation of a parameter with incomplete knowledge on a nuisance parameter

In this paper we consider the problem of estimating a paramet er of a probability distribution when we have some prior information on a nuisan ce parameter. We start by the very simple case where we know perfectly the value of the nuisance parameter. The complete likelihood is the classical tool in this case. Then, progressively, we c onsider the case where… CONTINUE READING