This paper concerns certain parametric models for densities on the unit interval which lead to nonsmooth and nonregular likelihood functions. (i) The first is the simple triangular model on the unit interval, characterised by a density linearly increasing from zero to the mode position $θ$ and then linearly decreasing to zero from the mode to one. With data from this model the likelihood function is a sum of individually log-convex terms, and with the derivative having discontinuities at each data point. (ii) The second is the one-parameter two-box density which is flat on $[0,θ]$ and $(θ,1]$, with $θ$ the median. The likelihood has jumps at each datapoint. Here the maximum likelihood estimator is sharper than usual, with convergence in distribution of $n(\hatθ-θ)$ to a nonnormal limit. We also study the $k$-box extension of this model, with density being flat on $k$ boxes determined by $k$ quantiles. (iii) This second model is extended to the two-parameter two-box model, with areas $γ$ and $1-γ$ for boxes $[0,θ]$ and $(θ,1]$. Again the likelihood is nonregular, and the maximum likelihood estimators exhibit different rates of convergence for the breakpoints and the density values. The model generalises to the $2(k-1)$ parameter density piecewise flat over $k$ boxes. For each of these models we tend to the delicate task of sorting out the large-sample behaviour of the log-likelihoods, then leading to precise and partly nonstandard limit distributions for the maximum likelihood and Bayes estimators.

翻译：暂无翻译