On the Parametric Maximum Likelihood Estimator for Independent but Non-identically Distributed Observations with Application to Truncated Data
We investigate the parametric maximum likelihood estimator for truncated data when the truncation value is different according to the observed individual or item. We extend Lehmann’s proof (1983) of the asymptotic properties of the parametric maximum likelihood estimator in the case of independent n...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Springer
2016-02-01
|
| Series: | Journal of Statistical Theory and Applications (JSTA) |
| Subjects: | |
| Online Access: | https://www.atlantis-press.com/article/25850503.pdf |
| Summary: | We investigate the parametric maximum likelihood estimator for truncated data when the truncation value is different according to the observed individual or item. We extend Lehmann’s proof (1983) of the asymptotic properties of the parametric maximum likelihood estimator in the case of independent nonidentically distributed observations. Two cases are considered: either the number of distinct probability distribution functions that can be observed in the population from which the sample comes from is finite or this number is infinite. Sufficient conditions for consistency and asymptotic normality are provided for both cases. |
|---|---|
| ISSN: | 1538-7887 |