A matrix formula for the skewness of maximum likelihood estimators
نویسندگان
چکیده
منابع مشابه
On the Maximum Likelihood Estimators for some Generalized Pareto-like Frequency Distribution
Abstract. In this paper we consider some four-parametric, so-called Generalized Pareto-like Frequency Distribution, which have been constructed using stochastic Birth-Death Process in order to model phenomena arising in Bioinformatics (Astola and Danielian, 2007). As examples, two ”real data” sets on the number of proteins and number of residues for analyzing such distribution are given. The co...
متن کاملThe asymptotic variance and skewness of maximum likelihood estimators using Maple †
In 1998, Bowman and Shenton introduced an asymptotic formula for the third central moment of a maximum likelihood estimator θ̂α of the parameter θα, a = 1, 2, . . . , s. From this moment, the asymptotic skewness can be set up using the standard deviation. Clearly, the skewness, measured in this way is location free, and scale free, so that shape is accounted for. The computer program is implemen...
متن کاملThe Convergence of Lossy Maximum Likelihood Estimators
Given a sequence of observations (Xn)n≥1 and a family of probability distributions {Qθ}θ∈Θ, the lossy likelihood of a particular distribution Qθ given the data Xn 1 := (X1,X2, . . . ,Xn) is defined as Qθ(B(X 1 ,D)), where B(Xn 1 ,D) is the distortion-ball of radius D around the source sequence X n 1 . Here we investigate the convergence of maximizers of the lossy likelihood.
متن کاملAsymptotic Distributions of Quasi-Maximum Likelihood Estimators
Asymptotic properties of MLEs and QMLEs of mixed regressive, spatial autoregressive models are investigated. The stochastic rates of convergence of the MLE and QMLE for such models may be less than the √ n-rate under some circumstances even though its limiting distribution is asymptotically normal. When spatially varying regressors are relevant, the MLE and QMLE of the mixed regressive, autoreg...
متن کاملOn maximum likelihood estimators for a threshold autoregression
For a stationary ergodic self-exciting threshold autoregressive model with single threshold parameter, Chan (1993) obtained the consistency and limiting distribution of the least-squares estimator for the underlying true parameters. In this paper, we derive the similar results for the maximum likelihood estimators of the same model under some regularity conditions on the error density, not nece...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2011
ISSN: 0167-7152
DOI: 10.1016/j.spl.2010.12.009