The browser you are using is not supported by this website. All versions of Internet Explorer are no longer supported, either by us or Microsoft (read more here: https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Please use a modern browser to fully experience our website, such as the newest versions of Edge, Chrome, Firefox or Safari etc.

Maximizing leave-one-out likelihood for the location parameter of unbounded densities

På svenska

Author

Summary, in English

We propose simple estimation of the location parameter for a density that is unbounded at the mode. The estimator maximizes a modified likelihood in which the singular term in the full likelihood is left out, whenever the parameter value approaches a neighborhood of the singularity location. The consistency and super-efficiency of this maximum leave-one-out likelihood estimator is shown through a direct argument. The importance for estimation within parametric families is discussed and illustrated by an example involving the gamma mixture of normal distributions.

Publishing year

2015

Language

English

Pages

19-38

Publication/Series

Annals of the Institute of Statistical Mathematics

Volume

67

Issue

1

Document type

Journal article

Publisher

Springer

Topic

  • Probability Theory and Statistics

Keywords

  • Unbounded likelihood
  • Location parameter
  • Super-efficiency
  • Generalized
  • asymmetric Laplace distribution

Status

Published

ISBN/ISSN/Other

  • ISSN: 0020-3157