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Estimating Parameters in Continuous Univariate Distributions with a Shifted Origin

R. C. H. Cheng and N. A. K. Amin
Journal of the Royal Statistical Society. Series B (Methodological)
Vol. 45, No. 3 (1983), pp. 394-403
Published by: Wiley for the Royal Statistical Society
Stable URL: http://www.jstor.org/stable/2345411
Page Count: 10
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Estimating Parameters in Continuous Univariate Distributions with a Shifted Origin
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Abstract

A general method of estimating parameters in continuous univariate distributions is proposed. It is especially suited to cases where one of the parameters is an unknown shifted origin. This occurs, for example, in the three-parameter lognormal, gamma and Weibull models. For such distributions it is known that maximum likelihood (ML) estimation can break down because the likelihood is unbounded and this can lead to inconsistent estimators. Properties of the proposed method are described. In particular it is shown to give consistent estimators with asymptotic efficiency equal to ML estimators when these exist. Moreover it gives consistent, asymptotically efficient estimators in situations where ML fails. Examples are given including numerical ones showing the advantages of the method.

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