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

DOI10.1007/S10463-013-0437-6zbMATH Open1331.62104OpenAlexW2067502130MaRDI QIDQ2255165FDOQ2255165

Authors: Krzysztof Podgórski, Jonas Wallin 

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

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zbMATH Keywords

unbounded likelihoodsuper-efficiencylocation parametergeneralized asymmetric Laplace distribution

Mathematics Subject Classification ID

Point estimation (62F10)

Cites Work

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• On the convergence properties of the EM algorithm
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• Inference for normal mixtures in mean and variance
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• Root selection in normal mixture models
• Estimation of the Location of the Cusp of a Continuous Density
• The Order of the Minimum Variance in a Non-Regular Case
• Asymptotic behavior of statistical estimates of the shift parameter for samples with unbounded density
• Minimum Variance Order when Estimating the Location of an Irregularity in the Density

Cited In (5)

• A novel weighted likelihood estimation with empirical Bayes flavor
• 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
• ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density
• On the likelihood function of small time variance Gamma Lévy processes

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