Easy estimation by a new parameterization for the three-parameter lognormal distribution

DOI10.1080/0094965031000104341MaRDI QIDQ4825486zbMATH OpenOpenAlexFDO

Authors Yoshio Komori, Hideo Hirose

Publication date 28 October 2004

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1311.3753

zbMATH Keywords

dimension reductionembedded problemextended lognormal distributionlocal maximum likelihood estimateprimary relative maximum

Mathematics Subject Classification ID

Point estimation (62F10)

Abstract: A new parameterization and algorithm are proposed for seeking the primary relative maximum of the likelihood function in the three-parameter lognormal distribution. The parameterization yields the dimension reduction of the three-parameter estimation problem to a two-parameter estimation problem on the basis of an extended lognormal distribution. The algorithm provides the way of seeking the profile of an object function in the two-parameter estimation problem. It is simple and numerically stable because it is constructed on the basis of the bisection method. The profile clearly and easily shows whether a primary relative maximum exists or not, and also gives a primary relative maximum certainly if it exists.

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Cites work

• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• ESTIMATION OF PARAMETERS IN THE THREE‐PARAMETER LOGNORMAL DISTRIBUTION1
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• Fitting three-parameter lognormal models by numerical global optimization - an improved algorithm
• Maximum likelihood parameter estimation in the three-parameter log-normal distribution using the continuation method
• Moving truncations barrier-function methos for estimation in three-parameter lognormal models
• Small sample properties of the maximum likelihood estimators for an alternative parameterization of the three-parameter lognormal distribution
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Cited in

(8)

• Interval and point estimators for the location parameter of the three-parameter lognormal distribution
• A global simulated annealing heuristic for the three-parameter lognormal maximum likelihood estimation
• Small sample properties of the maximum likelihood estimators for an alternative parameterization of the three-parameter lognormal distribution
• Parameter estimation of S-distributions with alternating regression
• A consistent parameter estimation in the three-parameter lognormal distribution
• Three-parameter stochastic lognormal diffusion model: statistical computation and simulating annealing – application to real case
• Fitting three-parameter lognormal models by numerical global optimization - an improved algorithm
• Suitable algorithm associated with a parameterization for the three-parameter log-normal distribution

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