Estimating the Parameters of a Multivariate Exponential Distribution
作者:
Frank Proschan,
Pasquale Sullo,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1976)
卷期:
Volume 71,
issue 354
页码: 465-472
ISSN:0162-1459
年代: 1976
DOI:10.1080/01621459.1976.10480370
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
Parameter estimation for a (k +1)-parameter version of thek-dimensional multivariate exponential distribution (MVE) of Marshall and Olkin is investigated. Although not absolutely continuous with respect to Lebesgue measure, a density with respect to a dominating measure is specified, enabling derivation of a likelihood function and likelihood equations. In general, the likelihood equations, not solvable explicitly, have a unique root which is the maximum likelihood estimator (MLE). A simple estimator (INT) is derived as the first iterate in solving the likelihood equations iteratively. The resulting sequence of estimators converges to the MLE for sufficiently large samples. These results can be extended to the more general (2k− 1)-parameter MVE.
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