An Approximation Method for a Maximum Likelihood Equation System and Application to the Analysis of Accidents Data

• 作者: Assi N’Guessan Bezza Hafidi Issa Cherif Geraldo
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: CONSTRAINED Maximum LIKELIHOOD Partial Linear APPROXIMATION Schur’s COMPLEMENT ITERATIVE Algorithms Road Safety Measure MULTINOMIAL Model
• 年，卷（期）: tjxqkyw_2017,（1）
• 页码范围: 132-152
• 页数: 21页
• 分类号: O1

摘要

There exist many iterative methods for computing the maximum likelihood estimator but most of them suffer from one or several drawbacks such as the need to inverse a Hessian matrix and the need to find good initial approximations of the parameters that are unknown in practice. In this paper, we present an estimation method without matrix inversion based on a linear approximation of the likelihood equations in a neighborhood of the constrained maximum likelihood estimator. We obtain closed-form approximations of solutions and standard errors. Then, we propose an iterative algorithm which cycles through the components of the vector parameter and updates one component at a time. The initial solution, which is necessary to start the iterative procedure, is automated. The proposed algorithm is compared to some of the best iterative optimization algorithms available on R and MATLAB software through a simulation study and applied to the statistical analysis of a road safety measure.