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Maximum Spacing Estimates: A Generalization and Improvement on Maximum Likelihood Estimates I

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Probability in Banach Spaces, 9

Part of the book series: Progress in Probability ((PRPR,volume 35))

Abstract

Hoffmann-Jorgensen (1992) presents a fairly general framework for considering consistency and asymptotic normality of “M-estimates.” The most celebrated such estimate is the famous maximum likelihood estimate (MLE), about which there has been considerable controversy due to the fact that it may not even be consistent [see Le Cam (1990)]. Hoffmann-Jorgensen’s theory tries to unify the discussion of consistency and inconsistency, but does not extend the domain of the MLE’s consistency. The current paper was motivated by first trying to understand why the MLE may be inconsistent and then considering alternatives that might rectify the inconsistency.

Supported in part by NSF grant DMS-92-04333

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Author information

Authors and Affiliations

  1. Department of Mathematics, Tufts University, Medford, MA, 02155, USA

    Yongzhao Shao & Marjorie G. Hahn

Authors
  1. Yongzhao Shao
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  2. Marjorie G. Hahn
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Editor information

Editors and Affiliations

  1. Mathematical Institute, Aarhus University, NY Munkegade, DK-8000, Aarhus C, Denmark

    Jørgen Hoffmann-Jørgensen

  2. Department of Mathematics, University of Wisconsin, Madison, WI, 53706, USA

    James Kuelbs

  3. Department of Mathematics, City College of New York, New York, NY, 10031, USA

    Michael B. Marcus

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© 1994 Springer Science+Business Media New York

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Shao, Y., Hahn, M.G. (1994). Maximum Spacing Estimates: A Generalization and Improvement on Maximum Likelihood Estimates I. In: Hoffmann-Jørgensen, J., Kuelbs, J., Marcus, M.B. (eds) Probability in Banach Spaces, 9. Progress in Probability, vol 35. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0253-0_28

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  • DOI: https://doi.org/10.1007/978-1-4612-0253-0_28

  • Publisher Name: Birkhäuser, Boston, MA

  • Print ISBN: 978-1-4612-6682-2

  • Online ISBN: 978-1-4612-0253-0

  • eBook Packages: Springer Book Archive

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