Anatolyev, Stanislav and Grigory Kosenok (2005) “An alternative to maximum likelihood based on spacings”, Econometric Theory, Vol. 21, No. 2, pp. 472–476
In the statistics literature, asymptotic properties of the Maximum Product of Spacings estimator are derived from the rst principles. We propose an alternative derivation based on the comparison between its objective function and that of the Maximum Likelihood estimator.
Paper in RePEc:
Paper in accepted version:
Magnus Ekström (2008) "Alternatives to maximum likelihood estimation based on spacings and the Kullback-Leibler divergence", Journal of Statistical Planning and Inference, 138, 1778-1791