Generalized maximum spacing estimators
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 can be derived from an approximation based on simple spacings of the Kullback-Leibler information.
In the present paper, we introduce a class of estimation methods, derived from approximations based on mth order spacings of certain information measures, i.e. the ^-divergences introduced by Csiszâr (1963). The introduced class of methods includes the MSP method as a special case. A subclass of these methods was considered earlier in Ranneby and Ekström (1997), i.e. those based on first order spacings. Here it is found that such methods can be improved by using high order spacings. We also show that the suggested methods give consistent estimates under general conditions. 
Research was supported by The Bank of Sweden Tercentenary Foundation.
Place, publisher, year, edition, pages
Umeå: Umeå universitet , 1997. , 14 p.
, Research report / Department of Mathematical Statistics, Umeå University, ISSN 1401-730X ; 1997:6
Estimation, Spacings, Consistency, (^-divergence, Maximum spacing method
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:umu:diva-85172OAI: oai:DiVA.org:umu-85172DiVA: diva2:691960