浅论“广义”最大似然估计

On Generalized Maximum Likelihood Estimation

我们常常会遇到最大似然估计不存在的情况,这种情况以在非正态回归模型中最为典型。当参数向量不能被估计时,人们对参数向量的线性函数的估计饶有兴趣。本文给出了这些线性函数的广义最大似然估计的定义,讨论了广义最大似然估计的性质,探讨了利用射影变换求广义最大似然估计的方法。

Nonexistence of maximum likelihood estimation is a frequent phenomenon, typically occuring in nonnormal regression models. If the parameter vector cannot be estimates,it is of interest to estimate certain linear functions of the parameter vector. The definition of a generalized maximum likelihood estimation(G. M. L. E. ) of the linear functions is given. The property of the G. M. L. E. is discussed and an approach of finding the G. M. L. E. by projective transfer-mation is prestented.