• Title/Summary/Keyword: maximum likelihood estimation

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A Doubly Winsorized Poisson Auto-model

  • Jaehyung Lee
    • Communications for Statistical Applications and Methods
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    • v.5 no.2
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    • pp.559-570
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    • 1998
  • This paper introduces doubly Winsorized Poisson auto-model by truncating the support of a Poisson random variable both from above and below, and shows that this model has a same form of negpotential function as regular Poisson auto-model and one-way Winsorized Poisson auto-model. Strategies for maximum likelihood estimation of parameters are discussed. In addition to exact maximum likelihood estimation, Monte Carlo maximum likelihood estimation may be applied to this model.

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Maximum Likelihood Estimation for the Laplacian Autoregressive Time Series Model

  • Son, Young-Sook;Cho, Sin-Sup
    • Journal of the Korean Statistical Society
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    • v.25 no.3
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    • pp.359-368
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    • 1996
  • The maximum likelihood estimation is discussed for the NLAR model with Laplacian marginals. Since the explicit form of the estimates cannot be obtained due to the complicated nature of the likelihood function we utilize the automatic computer optimization subroutine using a direct search complex algorithm. The conditional least square estimates are used as initial estimates in maximum likelihood procedures. The results of a simulation study for the maximum likelihood estimates of the NLAR(1) and the NLAR(2) models are presented.

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Regularity of Maximum Likelihood Estimation for ARCH Regression Model with Lagged Dependent Variables

  • Hwang, Sun Y.
    • Journal of the Korean Statistical Society
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    • v.29 no.1
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    • pp.9-16
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    • 2000
  • This article addresses the problem of maximum likelihood estimation in ARCH regression with lagged dependent variables. Some topics in asymptotics of the model such as uniform expansion of likelihood function and construction of a class of MLE are discussed, and the regularity property of MLE is obtained. The error process here is possibly non-Gaussian.

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Comparison of parameter estimation methods for normal inverse Gaussian distribution

  • Yoon, Jeongyoen;Kim, Jiyeon;Song, Seongjoo
    • Communications for Statistical Applications and Methods
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    • v.27 no.1
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    • pp.97-108
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    • 2020
  • This paper compares several methods for estimating parameters of normal inverse Gaussian distribution. Ordinary maximum likelihood estimation and the method of moment estimation often do not work properly due to restrictions on parameters. We examine the performance of adjusted estimation methods along with the ordinary maximum likelihood estimation and the method of moment estimation by simulation and real data application. We also see the effect of the initial value in estimation methods. The simulation results show that the ordinary maximum likelihood estimator is significantly affected by the initial value; in addition, the adjusted estimators have smaller root mean square error than ordinary estimators as well as less impact on the initial value. With real datasets, we obtain similar results to what we see in simulation studies. Based on the results of simulation and real data application, we suggest using adjusted maximum likelihood estimates with adjusted method of moment estimates as initial values to estimate the parameters of normal inverse Gaussian distribution.

Bayesian and maximum likelihood estimation of entropy of the inverse Weibull distribution under generalized type I progressive hybrid censoring

  • Lee, Kyeongjun
    • Communications for Statistical Applications and Methods
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    • v.27 no.4
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    • pp.469-486
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    • 2020
  • Entropy is an important term in statistical mechanics that was originally defined in the second law of thermodynamics. In this paper, we consider the maximum likelihood estimation (MLE), maximum product spacings estimation (MPSE) and Bayesian estimation of the entropy of an inverse Weibull distribution (InW) under a generalized type I progressive hybrid censoring scheme (GePH). The MLE and MPSE of the entropy cannot be obtained in closed form; therefore, we propose using the Newton-Raphson algorithm to solve it. Further, the Bayesian estimators for the entropy of InW based on squared error loss function (SqL), precautionary loss function (PrL), general entropy loss function (GeL) and linex loss function (LiL) are derived. In addition, we derive the Lindley's approximate method (LiA) of the Bayesian estimates. Monte Carlo simulations are conducted to compare the results among MLE, MPSE, and Bayesian estimators. A real data set based on the GePH is also analyzed for illustrative purposes.

Enhanced Inter-Symbol Interference Cancellation Scheme for Diffusion Based Molecular Communication using Maximum Likelihood Estimation

  • Raut, Prachi;Sarwade, Nisha
    • KSII Transactions on Internet and Information Systems (TIIS)
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    • v.10 no.10
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    • pp.5035-5048
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    • 2016
  • Nano scale networks are futuristic networks deemed as enablers for the Internet of Nano Things, Body area nano networks, target tracking, anomaly/ abnormality detection at molecular level and neuronal therapy / drug delivery applications. Molecular communication is considered the most compatible communication technology for nano devices. However, connectivity in such networks is very low due to inter-symbol interference (ISI). Few research papers have addressed the issue of ISI mitigation in molecular communication. However, many of these methods are not adaptive to dynamic environmental conditions. This paper presents an enhancement over original Memory-1 ISI cancellation scheme using maximum likelihood estimation of a channel parameter (λ) to make it adaptable to variable channel conditions. Results of the Monte Carlo simulation show that, the connectivity (Pconn) improves by 28% for given simulation parameters and environmental conditions by using enhanced Memory-1 cancellation method. Moreover, this ISI mitigation method allows reduction in symbol time (Ts) up to 50 seconds i.e. an improvement of 75% is achieved.

Multi-Pulse Amplitude and Location Estimation by Maximum-Likelihood Estimation in MPE-LPC Speech Synthesis (MPE-LPC음성합성에서 Maximum- Likelihood Estimation에 의한 Multi-Pulse의 크기와 위치 추정)

  • 이기용;최홍섭;안수길
    • Journal of the Korean Institute of Telematics and Electronics
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    • v.26 no.9
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    • pp.1436-1443
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    • 1989
  • In this paper, we propose a maximum-likelihood estimation(MLE) method to obtain the location and the amplitude of the pulses in MPE( multi-pulse excitation)-LPC speech synthesis using multi-pulses as excitation source. This MLE method computes the value maximizing the likelihood function with respect to unknown parameters(amplitude and position of the pulses) for the observed data sequence. Thus in the case of overlapped pulses, the method is equivalent to Ozawa's crosscorrelation method, resulting in equal amount of computation and sound quality with the cross-correlation method. We show by computer simulation: the multi-pulses obtained by MLE method are(1) pseudo-periodic in pitch in the case of voicde sound, (2) the pulses are random for unvoiced sound, (3) the pulses change from random to periodic in the interval where the original speech signal changes from unvoiced to voiced. Short time power specta of original speech and syunthesized speech obtained by using multi-pulses as excitation source are quite similar to each other at the formants.

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Generalized nonlinear percentile regression using asymmetric maximum likelihood estimation

  • Lee, Juhee;Kim, Young Min
    • Communications for Statistical Applications and Methods
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    • v.28 no.6
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    • pp.627-641
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    • 2021
  • An asymmetric least squares estimation method has been employed to estimate linear models for percentile regression. An asymmetric maximum likelihood estimation (AMLE) has been developed for the estimation of Poisson percentile linear models. In this study, we propose generalized nonlinear percentile regression using the AMLE, and the use of the parametric bootstrap method to obtain confidence intervals for the estimates of parameters of interest and smoothing functions of estimates. We consider three conditional distributions of response variables given covariates such as normal, exponential, and Poisson for three mean functions with one linear and two nonlinear models in the simulation studies. The proposed method provides reasonable estimates and confidence interval estimates of parameters, and comparable Monte Carlo asymptotic performance along with the sample size and quantiles. We illustrate applications of the proposed method using real-life data from chemical and radiation epidemiological studies.

A COMPARATIVE EVALUATION OF THE ESTIMATORS OF THE 2-PARAMETER GENERALIZED PARETO DISTRIBUTION

  • Singh, V.P.;Ahmad, M.;Sherif, M.M.
    • Water Engineering Research
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    • v.4 no.3
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    • pp.155-173
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    • 2003
  • Parameters and quantiles of the 2-parameter generalized Pareto distribution were estimated using the methods of regular moments, modified moments, probability weighted moments, linear moments, maximum likelihood, and entropy for Monte Carlo-generated samples. The performance of these seven estimators was statistically compared, with the objective of identifying the most robust estimator. It was found that in general the methods of probability-weighted moments and L-moments performed better than the methods of maximum likelihood estimation, moments and entropy, especially for smaller values of the coefficient of variation and probability of exceedance.

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Hybrid Speaker Adaptation using Maximum-Likelihood Estimation (MLE를 이용한 하이브리드 화자 적응)

  • 표현아;김세현;오영환
    • Proceedings of the Korean Information Science Society Conference
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    • 2002.10d
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    • pp.268-270
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    • 2002
  • 최근 음성 인식 시스템의 성능 향상을 위해 화자 적응 (speaker adaptation)에 대한 연구가 활발히 진행되고 있다. HMM 기반 인식 시스템의 모델 파라미터를 수정하는 화자 적응의 경우, MAP방법과 MLLR 방법에 대한 연구가 주류를 이루고 있다. 두 방법은 adaptation data의 양에 따라서 서로 다른 성능을 보인다. 본 논문에서는 기존 두 방법을 Maximum-likelihood Estimation(MLE)를 이용하여 화자 적응을 수행하는 방법을 제안한다. 제안한 방법을 KAIST 통신연구실에서 구축한 한국어 도시이름 500단어 인식 시스템에 적용하여 adaptation data의 양에 상관없이 항상 높은 성능을 나타냈으며, 기존의 방법에 대해서 최고 4.37%의 인식률 향상을 보였다.

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