Asymptotic normality of generalized maximum spacing estimators for multivariate observations

Kristi Kuljus and Bo Ranneby

Scandinavian Journal of Statistics, 2020, vol. 47, issue 3, 968-989

Abstract: In this paper, the maximum spacing method is considered for multivariate observations. Nearest neighbor balls are used as a multidimensional analogue to univariate spacings. A class of information‐type measures is used to generalize the concept of maximum spacing estimators of model parameters. Asymptotic normality of these generalized maximum spacing estimators is proved when the assigned model class is correct, that is, the true density is a member of the model class.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:47:y:2020:i:3:p:968-989

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