Statistical estimation for truncated exponential families (Q1674246): Difference between revisions

The exponential family of distributions with one natural parameter truncated either from one or both sides is considered. Two situations are studied. First, the natural parameter is a parameter of interest while a truncation parameter is considered to be a nuisance parameter. Second, the truncation parameter is a parameter of interest and the natural parameter is a nuisance parameter. The parameter of interest is estimated by a maximum likelihood estimate supposing the nuisance parameter is known and by a bias adjusted maximum likelihood estimate supposing the nuisance parameter is unknown. Moreover, in the case of the natural parameter being the parameter of interest a maximum conditional likelihood estimator is also considered. The second-order asymptotical variances of these estimates obtained from the stochastic expansions are compared. The results are illustrated by several examples, i.e. by a truncated exponential, a truncated normal, an upper-truncated Pareto, a truncated beta and truncated Erlang distributions.