NONREGULAR REGRESSION
成果类型：
Article
署名作者：
SMITH, RL
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
发表日期：
1994
页码：
173183
关键词：
摘要：
In an earlier paper, the author has studied asymptotic properties of maximum likelihood estimates for a class of nonregular models in which the range of the distribution depends on unknown parameters. Examples include Weibull and extreme value distributions. The present paper is concerned with the extension of this theory to the case when covariates are present. The proposed solution involves solving a linear programming problem for the regression parameters, followed by maximisation of a pseudo-likelihood function for auxiliary parameters. Asymptotic properties are derived, and the results illustrated by two examples involving extreme value data with a trend.