Statistical inference using maximum likelihood estimation and the generalized likelihood ratio when the true parameter is on the boundary of the parameter space

The classic asymptotic properties of the maximum likelihood estimator and generalized likelihood ratio statistic do not hold when the true parameter is on the boundary of the parameter space. An inferential procedure based on an enlarged parameter space is shown to have the classical asymptotic properties. Some other competing procedures are also examined.

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Year of publication:	1992
Authors:	Feng, Ziding ; McCulloch, Charles E.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 13.1992, 4, p. 325-332
Publisher:	Elsevier
Keywords:	Restricted inference extended parameter space asymptotic maximum likelihood

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223626