Corrected Maximum Likelihood in Non-Regular Problems

SUMMARY Maximum likelihood (ML) estimation can break down for distributions like the three-parameter Weibull or gamma where one of the parameters is a limit of the range of the distribution. It is suggested that use of the product of densities for the likelihood function is a misapplication of the ML method in such non-regular cases, and that this is the reason for its failure. It is shown that ML works quite satisfactorily if the likelihood is corrected in an appropriate way.