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AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS

Published online by Cambridge University Press:  31 March 2005

Stanislav Anatolyev  and
Grigory Kosenok
Stanislav Anatolyev
Affiliation:
New Economic School, Moscow
Grigory Kosenok
Affiliation:
New Economic School, Moscow
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Abstract

In the statistics literature, asymptotic properties of the Maximum Product of Spacings estimator are derived from first principles. We propose an alternative derivation based on the comparison between its objective function and that of the Maximum Likelihood estimator.We thank the co-editor Paolo Paruolo for his patience and an anonymous referee for providing references to the statistics literature.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 21 , Issue 2 , April 2005 , pp. 472 - 476
Copyright
© 2005 Cambridge University Press

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References

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