Estimating the Parameters of a Certain Multivariate Exponential Distribution.
Abstract
The problem of parameter estimation for a (k + 1)-parameter version of the k-dimensional multivariate exponential distribution (MVE) of Marshall and Olkin is investigated. Although this MVE is not absolutely continuous with respect to Lebesgue measure, a density with respect to a dominating measure is specified, enabling the derivation of a likelihood function and likelihood equations. In general, the likelihood equations are not solvable explicitly but are shown to have an unique root which is the maximum likelihood estimator (MLE). A simple estimator (INT) is derived from intuitive considerations and also arises as the first iterate in a simple procedure to solve the likelihood equations iteratively. The sequence of estimators obtained by this procedure is shown to converge to the MLE for sufficiently large samples. (Modified author abstract)
Document Details
- Document Type
- Technical Report
- Publication Date
- Apr 01, 1973
- Accession Number
- AD0761533
Entities
People
- Frank Proschan
- Pasquale Sullo
Organizations
- Florida State University