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| Titel: |
Small sample properties of the maximum likelihood estimators for an alternative parameterization of the three-parameter lognormal distribution |
| Auteur: |
Eastham, Jerome F. LaRiccia, Vincent N. Schenemeyer, John H. |
| Verschenen in: |
Communications in statistics |
| Paginering: | Jaargang 16 (1987) nr. 3 pagina's 871-884 |
| Jaar: |
1987 |
| Inhoud: |
The small sample properties of the score function approximation to the maximum likelihood estimator for the three-parameter lognormal distribution using an alternative parameterization are considered. The new set of parameters is a continuous function of the usual parameters. However, unlike with the usual parameterization, the score function technique for this parameterization is extremely insensitive to starting values. Further, it is shown that whenever the sample third moment is less than zero, a local maximum to the likelihood function exists at a boundary point. For the usual parameterization, this point is unattainable. However, the alternative parameter space can be expanded to include these boundary points. This procedure results in good estimates of the expected value, variance, extreme percentiles and other parameters of the distribution even in samples where, with the typical parameterization, the estimation procedure fails to converge. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
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