Estimating the Parameters of a Multivariate Exponential Distribution: Part I,
Abstract
The problem of parameter estimation for a (k + 1)-parameter version of 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 they 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.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jun 01, 1974
- Accession Number
- ADA004328
Entities
People
- Frank Proschan
- Pasquale Sullo
Organizations
- Florida State University