Nematrian Reference Library
[this page | back links]
Set out below is information (held by the Nematrian website) on the reference you have selected
Pages on this website that contain links to this reference include ERMMTOperationalRiskCapitalTriangularDistributionMLE
|Nguyen, H.D. and McLachlan, G.J. (2016)||Maximum Likelihood Estimation of Triangular and Polygonal Distributions||here
"Triangular distributions are a well-known class of distributions that are often used as elementary example of a probability model. In the past, enumeration and order statistic-based methods have been suggested for the maximum likelihood (ML) estimation of such distributions. A novel parametrization of triangular distributions is presented. The parametrization allows for the construction of an MM (minorization–maximization) algorithm for the ML estimation of triangular distributions. The algorithm is shown to both monotonically increase the likelihood evaluations, and be globally convergent. Using the parametrization is then applied to construct an MM algorithm for the ML estimation of polygonal distributions. This algorithm is shown to have the same numerical properties as that of the triangular distribution. Numerical simulation are provided to demonstrate the performances of the new algorithms against established enumeration and order statistics-based methods."
to choose a new Category/Sub-Category or here
for a list of all references held by the Nematrian website. Please contact us
if any of the above material is inaccurate or if there are references you think should be included that we have excluded or vice-versa.