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Symmetric maximum kernel likelihood estimation.

Research output: Contribution to journalJournal article

Published

Journal publication date02/2011
JournalJournal of Statistical Computation and Simulation
Journal number2
Volume81
Number of pages14
Pages193-206
Original languageEnglish

Abstract

We introduce an estimator for the population mean based on maximizing likelihoods formed from a symmetric kernel density estimate. Due to these origins, we have dubbed the estimator the symmetric maximum kernel likelihood estimate (smkle). A speedy computational method to compute the smkle based on binning is implemented in a simulation study which shows that the smkle at an optimal bandwidth is decidedly superior in terms of efficiency to the sample mean and other measures of location for heavy tailed symmetric distributions. An empirical rule and a computational method to estimate this optimal bandwidth are developed and used to construct bootstrap confidence intervals for the population mean. We show that the intervals have approximately nominal coverage and have significantly smaller average width than the corresponding intervals for other measures of location.