Premium
Allowance for skewness in maximum‐likelihood estimation with application to the location‐scale model
Author(s) -
Viveros Román,
Sprott David A.
Publication year - 1987
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315254
Subject(s) - allowance (engineering) , skewness , maximum likelihood , scale (ratio) , statistics , estimation , econometrics , mathematics , computer science , economics , geography , operations management , cartography , management
The use of maximum‐likelihood estimation as discussed by Sprott and Viveros (1984) is extended to include the log F distribution to accommodate skewness. The role played by linear pivotals in relation to likelihood and efficiency is discussed. Normal, t , and log F likelihoods are defined and used to generate possible normal, t , and log F linear pivotal quantities. The results are applied to the location‐scale family, where exact results are available to assess the numerical accuracy of the proposed procedure. Refinements using saddlepoint approximations are obtained.