Maximum L Q - Likelihood Estimation
نویسندگان
چکیده
In this paper, the Maximum Lq-Likelihood Estimator (MLqE), a new parameter estimator based on nonextensive entropy [16], is introduced. The properties of the MLqE are studied via asymptotic analysis and computer simulations. The behavior of the MLqE is characterized by the degree of distortion q applied to the assumed model. When q is properly chosen for small and moderate sample sizes, the MLqE can successfully trade bias for precision, resulting in a substantial reduction of the mean squared error. When the sample size is large and q tends to 1, a necessary and sufficient condition to ensure a proper asymptotic normality and efficiency of MLqE is established.
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تاریخ انتشار 2009