The Annals of Mathematical Statistics

Maximum Likelihood Estimation of a Translation Parameter of a Truncated Distribution

Michael Woodroofe

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Abstract

Let $f_\theta(x) = f(x - \theta), \theta, x\in R$, where $f(x) = 0$ for $x \leqq 0$ and let $\hat{\theta}_n$ be the maximum likelihood estimate (MLE) of $\theta$ based on a sample of size $n$. If $\alpha = \lim f'(x)$ exists as $x \rightarrow 0$, and $0 < \alpha < \infty$, then under some regularity conditions, it is shown that $\alpha_n(\hat{\theta}_n - \theta)$ has an asymptotic standard normal distribution where $2\alpha_n^2 = \alpha n \log n$ and that if $\theta$ is regarded as a random variable with a prior density, then the posterior distribution of $\alpha_n(\theta - \hat{\theta}_n)$ converges to normality in probability.

Article information

Source
Ann. Math. Statist., Volume 43, Number 1 (1972), 113-122.

Dates
First available in Project Euclid: 27 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177692707

Digital Object Identifier
doi:10.1214/aoms/1177692707

Mathematical Reviews number (MathSciNet)
MR298817

Zentralblatt MATH identifier
0251.62018

JSTOR
links.jstor.org

Citation

Woodroofe, Michael. Maximum Likelihood Estimation of a Translation Parameter of a Truncated Distribution. Ann. Math. Statist. 43 (1972), no. 1, 113--122. doi:10.1214/aoms/1177692707. https://projecteuclid.org/euclid.aoms/1177692707


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