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

DOI10.1007/S10463-013-0437-6MaRDI QIDQ2255165zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

generalized asymmetric Laplace distributionlocation parametersuper-efficiencyunbounded likelihood

Mathematics Subject Classification ID

Point estimation (62F10)

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Cites work

• Asymptotic behavior of statistical estimates of the shift parameter for samples with unbounded density
• Estimation of the Location of the Cusp of a Continuous Density
• scientific article; zbMATH DE number 1614382 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 3600847 (Why is no real title available?)
• scientific article; zbMATH DE number 739537 (Why is no real title available?)
• Inference for normal mixtures in mean and variance
• Minimum Variance Order when Estimating the Location of an Irregularity in the Density
• On the convergence properties of the EM algorithm
• Root selection in normal mixture models
• The Order of the Minimum Variance in a Non-Regular Case

Cited in

(5)

• ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density
• A novel weighted likelihood estimation with empirical Bayes flavor
• On the likelihood function of small time variance Gamma Lévy processes
• 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

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