Robust parameter estimation based on the generalized log-likelihood in the context of Sharma-Taneja-Mittal measure.

ABSTRACT

The problem of obtaining physical parameters that cannot be directly measured from observed data arises in several scientific fields. In the classic approach, the well-known maximum likelihood estimation associated with a Gaussian distribution is employed to obtain the model parameters of a complex system. Although this approach is quite popular in statistical physics, only a handful of spurious observations (outliers) make this approach ineffective, violating the Gauss-Markov theorem. In this work, starting from the generalized logarithmic function associated to the Sharma-Taneja-Mittal (STM) information measure, we propose an outlier-resistant approach based on the generalized log-likelihood estimation. In particular, our proposal deforms the Gaussian distribution based on a two-parameter generalization of the ordinary logarithmic function. We have tested the effectiveness of our proposal considering a classic geophysical inverse problem with a very noisy data set. The results show that the task of obtaining physical parameters based on the STM measure from noisy data with several outliers outperforms the classic approach, and therefore, our proposal is a useful tool for statistical physics, information theory, and statistical inference problems.