- Tytuł:
- On non-existence of moment estimators of the GED power parameter
- Autorzy:
- Stawiarski, Bartosz
- Powiązania:
- https://bibliotekanauki.pl/articles/729730.pdf
- Data publikacji:
- 2016
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
Generalized Error Distribution
nonparametric bootstrap
bootstrap consistency
moment estimator
power parameter - Opis:
- We reconsider the problem of the power (also called shape) parameter estimation within symmetric, zero-mean, unit-variance one-parameter Generalized Error Distribution family. Focusing on moment estimators for the parameter in question, through extensive Monte Carlo simulations we analyze the probability of non-existence of moment estimators for small and moderate samples, depending on the shape parameter value and the sample size. We consider a nonparametric bootstrap approach and prove its consistency. However, despite its established asymptotics, bootstrap does not substantially improve the statistical inference based on moment estimators once they fall into the non-existence area in case of small and moderate sample sizes.
- Źródło:
-
Discussiones Mathematicae Probability and Statistics; 2016, 36, 1-2; 5-23
1509-9423 - Pojawia się w:
- Discussiones Mathematicae Probability and Statistics
- Dostawca treści:
- Biblioteka Nauki
Artykuł