A global simulated annealing heuristic for the three-parameter lognormal maximum likelihood estimation |
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Authors: | J. Fernando Vera,Jose A. Dí az-Garcí a |
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Affiliation: | a Department of Statistics and O.R. Faculty of Sciences, University of Granada, 18071 Granada, Spain b Department of Statistics and Computation, Universidad Autónoma Agraria Antonio Narro, 25350 Buenavista, Saltillo, Coahuila, Mexico |
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Abstract: | It is well known that the inclusion of the threshold parameter in a lognormal distribution creates serious complications for parameter estimation; several parameterized schemes and global optimization procedures have been proposed to solve the problem in the maximum likelihood framework. A global Simulated Annealing optimization heuristic is proposed to solve the problem of maximum likelihood estimation in any parameterization scheme for the three-parameter lognormal distribution, as well as for the extended lognormal distribution. Positively and negatively skewed lognormal distributions are considered by introducing a one-parameter conditional estimation procedure in the classical parameterization for the three-parameter lognormal distribution, and a dual reparameterization is introduced for parameters estimation in the extended lognormal distribution. Simulated and real data are analyzed to test the efficiency of the proposed algorithm. |
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