最大似然估计的一个推广

An Extension of the Maximum Likelihood Estimation

  • 摘要: 我们常常会遇到最大似然估计不存在的情况,这种情况以在非正态回归模型中最为典型.当参数向量不能被估计时,人们对参数向量的线性函数的估计饶有兴趣.本文给出了这些线性函数的广义最大似然估计的定义.讨论了它的性质,并得到了利用投影变换确定具有有限广义最大似然估计的线性函数的方法。最后, 通过几个常见的定性资料统计模型的实例,展现了求广义最大似然估计的实施过程。

     

    Abstract: Nonexistence of maximum likelihood estimation is a frequent phenomenon, typically occuring in nonnormal regression models. If the parameter vector cannot be estimated, it is of interest to estimate certain linear functions of the parameter vector. The definition of a generalized maximum likelihood estimation (G.M.L.E.) of the linear functions is given. The property of the G.M.L.E. is discussed. An approach of finding the linear functions having finite value of the G.M.L.E. is presented. Finally we give some examples, which are frequently encounted in quantal models, to demostrate how to get the G.M.L.E..

     

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