A note on the asymptotic distribution of the maximum likelihood estimator for the scalar skew-normal distribution
โ Scribed by Monica Chiogna
- Publisher
- Springer
- Year
- 2005
- Tongue
- English
- Weight
- 120 KB
- Volume
- 14
- Category
- Article
- ISSN
- 1613-981X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
In estimating a bounded normal mean, it is known that the maximum likelihood estimator is inadmissible for squared error loss function. In this paper, we discuss the admissibility for other loss functions. We prove that the maximum likelihood estimator is admissible under absolute error loss.
A vector time series model with long-memory dependence is introduced. It is assumed that, at each time point, the observations are equi-correlated. The model is based on a fractionally differenced autoregressive process (long-memory) adjoined to a Gaussian sequence with constant autocorrelation. The