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Maximizing leave-on...
Maximizing leave-one-out likelihood for the location parameter of unbounded densities
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- Podgorski, Krzysztof (författare)
- Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
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- Wallin, Jonas (författare)
- Lund University,Lunds universitet,Matematisk statistik,Matematikcentrum,Institutioner vid LTH,Lunds Tekniska Högskola,Mathematical Statistics,Centre for Mathematical Sciences,Departments at LTH,Faculty of Engineering, LTH
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(creator_code:org_t)
- 2013-11-23
- 2015
- Engelska.
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Ingår i: Annals of the Institute of Statistical Mathematics. - : Springer Science and Business Media LLC. - 0020-3157 .- 1572-9052. ; 67:1, s. 19-38
- Relaterad länk:
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http://dx.doi.org/10...
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Abstract
Ämnesord
Stäng
- We propose simple estimation of the location parameter for a density that is unbounded at the mode. The estimator maximizes a modified likelihood in which the singular term in the full likelihood is left out, whenever the parameter value approaches a neighborhood of the singularity location. The consistency and super-efficiency of this maximum leave-one-out likelihood estimator is shown through a direct argument. The importance for estimation within parametric families is discussed and illustrated by an example involving the gamma mixture of normal distributions.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Unbounded likelihood
- Location parameter
- Super-efficiency
- Generalized
- asymmetric Laplace distribution
Publikations- och innehållstyp
- art (ämneskategori)
- ref (ämneskategori)
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