𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On the consistency of the maximum spacing method

✍ Scribed by Magnus Ekström

Book ID
104340538
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
136 KB
Volume
70
Category
Article
ISSN
0378-3758

No coin nor oath required. For personal study only.

✦ Synopsis

The main result of this paper is a consistency theorem for the maximum spacing method, a general method of estimating parameters in continuous univariate distributions, introduced by Cheng and Amin (J. Roy. Statist. Soc. Ser. A 45 (1983) 394 -403) and independently by Ranneby (Scand. J. Statist. 11 (1984) 93-112). This main result generalizes a theorem of Ranneby (Scand. J. Statist. 11 (1984) 93-112). Also, some examples are given, which shows that this estimation method works also in cases where the maximum likelihood method breaks down.

📜 SIMILAR VOLUMES

The rate of consistency of the quasi-max
The rate of consistency of the quasi-maximum likelihood estimator
✍ István Berkes; Lajos Horváth 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 155 KB

We connect the rate of consistency of the quasi-maximum likelihood estimator in GARCH(p; q) sequences with the number of the moments of the innovations.