Maximum spacing estimates based on different metrics
1997 (English)Report (Other academic)
The maximum spacing (MSP) method, introduced by Cheng and Amin (1983) and independently by Ranneby (1984), is a general method for estimating parameters in univariate continuous distributions and is known to give consistent and asymptotically efficient estimates under general conditions. This method, which is closely related to the maximum likelihood (ML) method, can be derived from an approximation based on simple spacings of the Kullback-Leibler information. In the present paper, the ideas behind the MSP metod axe extended and a class of estimation methods is derived from approximations of certain information measures, i.e. the ^-divergences introduced by Csiszâr (1963). We call these methods generalized maximum spacing (GMSP) methods, and it will be shown under general conditions that they give consistent estimates. GMSP methods have the advantage that they work also in situations where the ML method breaks down, e.g. due to an unbounded likelihood function. Other properties, such as asymptotic normality and the behaviour of the estimates when the assigned model is only approximately true, will be discussed.
 Research was supported by MISTRA, the Foundation for Strategic Environmental Research.
Place, publisher, year, edition, pages
Umeå: Umeå universitet , 1997. , 18 p.
, Research report / Department of Mathematical Statistics, Umeå University, ISSN 1401-730X ; 1997:5
Estimation, Spacings, Maximum spacing method, Consistency, ^-divergence
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:umu:diva-85171OAI: oai:DiVA.org:umu-85171DiVA: diva2:691955