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

DOI10.1080/0094965031000104341zbMATH Open1048.62025arXiv1311.3753OpenAlexW3106283894MaRDI QIDQ4825486FDOQ4825486

Authors: Yoshio Komori, Hideo Hirose 

Publication date: 28 October 2004

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

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.

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

Recommendations

• Suitable algorithm associated with a parameterization for the three-parameter log-normal distribution
• Maximum likelihood parameter estimation in the three-parameter log-normal distribution using the continuation method
• Fitting three-parameter lognormal models by numerical global optimization - an improved algorithm
• A consistent parameter estimation in the three-parameter lognormal distribution
• Small sample properties of the maximum likelihood estimators for an alternative parameterization of the three-parameter lognormal distribution

zbMATH Keywords

dimension reductionembedded problemextended lognormal distributionlocal maximum likelihood estimateprimary relative maximum

Mathematics Subject Classification ID

Point estimation (62F10)

Cites Work

• Title not available (Why is that?)
• Estimation of the Shape and Scale Parameters of the Weibull Distribution
• Maximum likelihood parameter estimation in the three-parameter log-normal distribution using the continuation method
• The use of interior penalty functions to overcome lognormal distribution parameter estimation anomalies
• Moving truncations barrier-function methos for estimation in three-parameter lognormal models
• ESTIMATION OF PARAMETERS IN THE THREE‐PARAMETER LOGNORMAL DISTRIBUTION1
• The Three-Parameter Lognormal Distribution and Bayesian Analysis of a Point-Source Epidemic
• Fitting three-parameter lognormal models by numerical global optimization - an improved algorithm
• Small sample properties of the maximum likelihood estimators for an alternative parameterization of the three-parameter lognormal distribution
• k-Sample Maximum Likelihood Ratio Test for Change of Weibull Shape Parameter

Cited In (8)

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

This page was built for publication: Easy estimation by a new parameterization for the three-parameter lognormal distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4825486)