In statistics, maximum spacing estimation (MSE or MSP), or maximum product of spacing estimation (MPS), is a method for estimating the parameters of a univariate statistical model. The method requires maximization of the geometric mean of spacings in the data, which are the differences between the values of the cumulative distribution function at neighbouring data points.
The concept underlying the method is based on the probability integral transform, in that a set of independent random samples derived from any random variable should on average be uniformly distributed with respect to the cumulative distribution function of the random variable. The MPS method chooses the parameter values that make the observed data as uniform as possible, according to a specific quantitative measure of uniformity.
One of the most common methods for estimating the parameters of a distribution from data, the method of maximum likelihood (MLE), can break down in various cases, such as involving certain mixtures of continuous distributions. In these cases the method of maximum spacing estimation may be successful.
Apart from its use in pure mathematics and statistics, the trial applications of the method have been reported using data from fields such as hydrology, econometrics, and others.
Read more about Maximum Spacing Estimation: History and Usage, Definition, Goodness of Fit, See Also
Famous quotes containing the words maximum and/or estimation:
“Only at his maximum does an individual surpass all his derivative elements, and become purely himself. And most people never get there. In his own pure individuality a man surpasses his father and mother, and is utterly unknown to them.”
—D.H. (David Herbert)
“A higher class, in the estimation and love of this city- building, market-going race of mankind, are the poets, who, from the intellectual kingdom, feed the thought and imagination with ideas and pictures which raise men out of the world of corn and money, and console them for the short-comings of the day, and the meanness of labor and traffic.”
—Ralph Waldo Emerson (1803–1882)