New Estimation Method Improves Accuracy of Complex Models Dramatically
Maximum smoothed likelihood estimation can improve maximum likelihood estimation by focusing on larger features of the likelihood function. This approach is useful when numerical techniques struggle with small-scale details. The study introduces a class of maximum smoothed likelihood estimators that work well for models with local asymptotic normality. In two examples, these estimators showed good properties for smooth but multimodal likelihoods and non-smooth likelihoods.