Title :
A modified Monte Carlo EM algorithm for a three-parameter distribution
Author :
Ye, Zhen ; Xie, Meihua ; Shen, Yanming ; Tang, Loon Ching
Author_Institution :
Dept. of Ind. & Syst. Eng., Nat. Univ. of Singapore, Singapore, Singapore
Abstract :
Statistical inference of a three-parameter distribution with closed-form mean residual life function is studied for complete and Type-II censored data. Because the log-likelihood function for this new distribution is not convex, the sequential quadratic programming method used for the maximum likelihood estimation easily diverges. Therefore, a modified Monte Carlo EM algorithm is proposed for parameter estimation. This modified algorithm is used to maintain the feasibility of the parameter vector during the evolutionary process, and is found to be robust in the sense that it is insensitive to the starting points.
Keywords :
Monte Carlo methods; expectation-maximisation algorithm; inference mechanisms; quadratic programming; Monte Carlo EM algorithm; Type-II censored data; evolutionary process; log-likelihood function; maximum likelihood estimation; sequential quadratic programming method; statistical inference; three-parameter distribution; Approximation algorithms; Computational modeling; Equations; Inference algorithms; Markov processes; Maximum likelihood estimation; Monte Carlo methods; Markov Chain Monte Carlo; Maximum likelihood estimation; Progressively Type-II censoring; Weibull distribution;
Conference_Titel :
Quality and Reliability (ICQR), 2011 IEEE International Conference on
Conference_Location :
Bangkok
Print_ISBN :
978-1-4577-0626-4
DOI :
10.1109/ICQR.2011.6031703
