Large sample properties of the mle and mcle for the natural parameter of a truncated exponential family

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Abstract

Consider a truncated exponential family of absolutely continuous distributions with natural parameter θ and truncation parameter γ. Strong consistency and asymptotic normality are shown to hold for the maximum likelihood and maximum conditional likelihood estimates of θ with γ unknown. Moreover, these two estimates are also shown to have the same limiting distribution, coinciding with that of the maximum likelihood estimate for θ when γ is assumed to be known.

Original languageEnglish
Pages (from-to)217-222
Number of pages6
JournalAnnals of the Institute of Statistical Mathematics
Volume36
Issue number1
DOIs
StatePublished - Dec 1984

ASJC Scopus subject areas

  • Statistics and Probability

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