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Higher‐order approximations for pitman estimators and for optimal compromise estimators

Laplace approximations for the Pitman estimators of location or scale parameters, including terms O(n−1), are obtained. The resulting expressions involve the maximum‐likelihood estimate and the derivatives of the log‐likelihood function up to order 3. The results can be used to refine the approximations for the optimal compromise estimators for location parameters considered by Easton (1991). Some applications and Monte Carlo simulations are discussed.