ML estimation for multivariate shock models via an EM algorithm |
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Authors: | Dimitris Karlis |
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Institution: | (1) Department of Statistics, Athens University of Economics and Business, 76, Patission Str., 10434 Athens, Greece |
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Abstract: | Multivariate extensions of univariate distributions, though useful, have not been applied in practice mainly due to shortage
of inferential procedures caused by numerical complexity. The multivariate Marshall-Olkin distribution is a multivariate extension
of the exponential distribution. Its representation as a multivariate shock model makes it appealing for such applications.
Unfortunately, ML estimation is not easy and special numerical techniques are needed. In this paper an EM type algorithm based
on the multivariate reduction technique is described. The behavior of the algorithm is examined and a numerical example is
provided. |
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Keywords: | Multivariate reduction Marshall-Olkin distribution maximum likelihood estimation |
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