In this paper stochastic expansions of the maximum likelihood estimator for location and for the asymptotic expansion of the distribution function of this estimator are derived. A Cornish–Fisher expansion is also given for the quantile function of the distribution function. All expansions are given in explicit expressions.
Publié le : 2009-06-15
Classification:
Asymptotic expansion,
maximum likelihood estimator,
Cornish–Fisher expansions
@article{1245351241,
author = {Venetiaan, Shanti},
title = {An expansion for the maximum likelihood estimator of location and its distribution function},
journal = {Braz. J. Probab. Stat.},
volume = {23},
number = {1},
year = {2009},
pages = { 82-91},
language = {en},
url = {http://dml.mathdoc.fr/item/1245351241}
}
Venetiaan, Shanti. An expansion for the maximum likelihood estimator of location and its distribution function. Braz. J. Probab. Stat., Tome 23 (2009) no. 1, pp. 82-91. http://gdmltest.u-ga.fr/item/1245351241/