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

DOI10.1007/s10463-013-0437-6zbMath1331.62104OpenAlexW2067502130MaRDI QIDQ2255165

Jonas Wallin, Krzysztof Podgórski

Publication date: 6 February 2015

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-013-0437-6

zbMATH Keywords

super-efficiencylocation parameterunbounded likelihoodgeneralized asymmetric Laplace distribution

Mathematics Subject Classification ID

Point estimation (62F10)

Related Items (5)

A novel weighted likelihood estimation with empirical Bayes flavor ⋮ ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density ⋮ Maximum leave-one-out likelihood method for the location parameter of variance gamma distribution with unbounded density ⋮ ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density ⋮ On the likelihood function of small time variance Gamma Lévy processes

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• Root selection in normal mixture models
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• Estimation of the Location of the Cusp of a Continuous Density
• The Order of the Minimum Variance in a Non-Regular Case
• Minimum Variance Order when Estimating the Location of an Irregularity in the Density

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