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

Ziding Feng and Charles E. McCulloch

Statistics & Probability Letters, 1992, vol. 13, issue 4, 325-332

Abstract: 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.

Keywords: Restricted; inference; extended; parameter; space; asymptotic; maximum; likelihood (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (9)

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