UC Santa Barbara

A general parametric estimation method which makes use of the coverage probabilities or spacings is proposed. Under some regularity conditions, it is shown that such estimators are asymptotically normal. This method generalizes the maximum spacing method of estimation that has been discussed in the literature. Furthermore, it is shown that the maximum spacing estimator is asymptotically most efficient within the subclass of spacings-based estimators under consideration. © 2001 Elsevier Science B.V.