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Maximum spacing methods and limit theorems for statistics based on spacings

The maximum spacing (MSP) method, introduced by Cheng and Amin (1983) and independently by Ranneby (1984), is a general estimation method for continuous univariate distributions. The MSP method, which is closely related to the maximum likelihood (ML) method, can be derived from an approximation based on simple spacings of the Kullback-Leibler information. It is known to give consistent and asymptotically efficient estimates under general conditions and works also in situations where the ML method fails, e.g. for the three parameter Weibull model. In this thesis it is proved under general conditions that MSP estimates of parameters in the Euclidian metric are strongly consistent. The ideas behind the MSP method are extended and a class of estimation methods is introduced. These methods, called generalized MSP methods, are derived from approxima­tions based on sum-functions of rath order spacings of certain information mea­sures, i.e. the ^-divergences introduced by Csiszår (1963). It is shown under general conditions that generalized MSP methods give consistent estimates. In particular, it is proved that generalized MSP methods give L1 consistent esti­mates in any family of distributions with unimodal densities, without any further conditions on the distributions. Other properties such as distributional robust­ness are also discussed. Several limit theorems for sum-functions of rath order spacings are given, for ra fixed as well as for the case when ra is allowed to in­crease to infinity with the sample size. These results provide a strongly consistent nonparametric estimator of entropy, as well as a characterization of the uniform distribution. Further, it is shown that Cressie's (1976) goodness of fit test is strongly consistent against all continuous alternatives. / digitalisering@umu

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:umu-85176
Date January 1997
CreatorsEkström, Magnus
PublisherUmeå universitet, Matematisk statistik, Umeå : Umeå universitet
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeDoctoral thesis, comprehensive summary, info:eu-repo/semantics/doctoralThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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