Estimation of a unimodal density
Prakasa Rao · 1969
Grenander (1956) derived the maximum likelihood estimator (MLE) for a unimodal density ƒ. We obtain the asymptotic distribution of this estimator in this paper and we shall also prove that this estimator is consistent. The estimation problem is reduced at first to that of a stochastic process and the asymptotic distribution of MLE is obtained by means of theorems on convergence of distributions of stochastic processes.