6533b822fe1ef96bd127d51f

RESEARCH PRODUCT

Maximum likelihood estimation for the exponential power function parameters

G. Agrò

subject

Statistics and ProbabilityEstimation theoryRestricted maximum likelihoodMaximum likelihood sequence estimationLikelihood principlesymbols.namesakeEstimation of covariance matricesModeling and SimulationStatisticsExpectation–maximization algorithmsymbolsFisher informationLikelihood functionMathematics

description

This paper addresses the problem of obtaining maximum likelihood estimates for the three parameters of the exponential power function; the information matrix is derived and the covariance matrix is here presented; the regularity conditions which ensure asymptotic normality and efficiency are examined. A numerical investigation is performed for exploring the bias and variance of the maximum likelihood estimates and their dependence on sample size and shape parameter.

yearjournalcountryeditionlanguage
1995-01-01Communications in Statistics - Simulation and Computation
https://doi.org/10.1080/03610919508813255