Maximum Lq-likelihood estimation

DOI10.1214/09-AOS687zbMATH Open1183.62033arXiv1002.4533OpenAlexW2951994466MaRDI QIDQ2380087FDOQ2380087

Authors: Davide Ferrari, Yuhong Yang 

Publication date: 24 March 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: In this paper, the maximum L$q$-likelihood estimator (ML$q$E), a new parameter estimator based on nonextensive entropy [Kibernetika 3 (1967) 30--35] is introduced. The properties of the ML$q$E are studied via asymptotic analysis and computer simulations. The behavior of the ML$q$E is characterized by the degree of distortion $q$ applied to the assumed model. When $q$ is properly chosen for small and moderate sample sizes, the ML$q$E can successfully trade bias for precision, resulting in a substantial reduction of the mean squared error. When the sample size is large and $q$ tends to 1, a necessary and sufficient condition to ensure a proper asymptotic normality and efficiency of ML$q$E is established.

Full work available at URL: https://arxiv.org/abs/1002.4533

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zbMATH Keywords

asymptotic efficiencyexponential familynonextensive entropytail probability estimationmaximum L\(q\)-likelihood estimation

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32) Central limit and other weak theorems (60F05)

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Cited In (42)

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