A Note on Estimation in the Four-Parameter Beta Distribution
Julian Z. Wang · Communications in Statistics - Simulation and Computation · 2005
The four-parameter beta distribution is non regular at both lower and upper endpoints in maximum likelihood estimation (MLE). The use of MLE is restricted only in a range of values of the shape parameters. The object of this article is to explore a way of estimating the parameters by placing priors to counteract the shortfalls inherent in the conventional likelihood. The priors are in a general form and therefore the proposed method is generally applicable. The estimators based on the modified likelihood are consistent with optimal rates of convergence.