Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Wakeby Distribution and the Maximum Likelihood Estimation Algorithm in Which Probability Density Function Is Not Explicitly Expressed

  • Park Jeong-Soo (Department of Statistics, Chonnam National University)
  • Published : 2005.08.01
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Abstract

The studied in this paper is a new algorithm for searching the maximum likelihood estimate(MLE) in which probability density function is not explicitly expressed. Newton-Raphson's root-finding routine and a nonlinear numerical optimization algorithm with constraint (so-called feasible sequential quadratic programming) are used. This algorithm is applied to the Wakeby distribution which is importantly used in hydrology and water resource research for analysis of extreme rainfall. The performance comparison between maximum likelihood estimates and method of L-moment estimates (L-ME) is studied by Monte-carlo simulation. The recommended methods are L-ME for up to 300 observations and MLE for over the sample size, respectively. Methods for speeding up the algorithm and for computing variances of estimates are discussed.

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References

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