Maximum L$q$-likelihood estimation

@inproceedings{Ferrari2010MaximumLE,
  title={Maximum L\$q\$-likelihood estimation},
  author={D. Ferrari and Yun Yang},
  year={2010}
}
In this paper, the maximum L$q$-likelihood estimator (ML$q$E), a new parameter estimator based on nonextensive entropy [Kibernetika 3 (1967) 30--35] is introduced. The properties of the ML$q$E are studied via asymptotic analysis and computer simulations. The behavior of the ML$q$E is characterized by the degree of distortion $q$ applied to the assumed model. When $q$ is properly chosen for small and moderate sample sizes, the ML$q$E can successfully trade bias for precision, resulting in a… CONTINUE READING

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