AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS

Stanislav Anatolyev and Grigory Kosenok

Econometric Theory, 2005, vol. 21, issue 2, 472-476

Abstract: In the statistics literature, asymptotic properties of the Maximum Product of Spacings estimator are derived from first principles. We propose an alternative derivation based on the comparison between its objective function and that of the Maximum Likelihood estimator.We thank the co-editor Paolo Paruolo for his patience and an anonymous referee for providing references to the statistics literature.

Date: 2005
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