Moving truncations barrier-function methos for estimation in three-parameter lognormal models |
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Authors: | Dallas R Wingo |
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Institution: | Leo Burnett U.S.A. and The University of Chicago , Chicago, Illinois |
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Abstract: | A method of centres algorithm for maximum likelihood estimation in the three-parameter lognormal model is presented and discussed, The algorithm is a member of the class of moving truncations algorithms for solving nonlinear programming problems and is able to move the numerical search out of the region of the infinite maximum of the conditional likelihood function, thereby permitting convergence to an interior relative maximum of this function. The algorithm also includes an optimality test to locate the primary relative maximum of the likelihood function. |
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Keywords: | maximum likelihood estimation lognormal dis-tribution lognormal parameter estimation parameter estimation |
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