Density Estimation and Combination under Model Ambiguity



True:G(9,3)

h к n 1/4.5

N=1200

t=1000

Gamma
par(1)

par(2)

Normal

par(1)

par(2)

Weibull
par(1)

par(2)

NPQMLE

estim.θ

8.47

3.22

25.49

9.14

0.000025

3.157

st.dev.

. ʌ .
KI(g, f (b))

0.419

0.166

0.0032

0.319

0.241

0.018

0.000007

0.081

0.0207

QMLE

estim.θ

9.01

2.999

26.992

8.998

0.000021

3.166

st.dev.

. ʌ .

Ki(g, f (b))

0.353

0.121

0.0012

0.262

0.208

0.041

0.000056

0.076

0.042

Table 5

True:G(9,3)

h к n 1/4

N=1200

t=1000

Gamma

Normal

Weibull

par(1)

par(2)

par(1)

par(2)

par(1)

par(2)

NPQMLE

estim.θ

8.75

3.108

25.49

8.993

0.000023

3.196

st.dev.

0.455

0.171

0.327

0.255

0.000006

0.085

. ʌ .

KI(g,f (b))

0.0023

0.0174

0.0200

Table 6

38



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