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ArticleOriginal scientific text

Title

MLE for the γ-order Generalized Normal Distribution

Authors 1, 2, 1

Affiliations

  1. Technological Educational Institute of Athens, Greece
  2. Democritus University of Thrace, Greece

Abstract

The introduced three parameter (position μ, scale ∑ and shape γ) multivariate generalized Normal distribution (γ-GND) is based on a strong theoretical background and emerged from Logarithmic Sobolev Inequalities. It includes a number of well known distributions such as the multivariate Uniform, Normal, Laplace and the degenerated Dirac distributions. In this paper, the cumulative distribution, the truncated distribution and the hazard rate of the γ-GND are presented. In addition, the Maximum Likelihood Estimation (MLE) method is discussed in both the univariate and multivariate cases and asymptotic results are presented.

Keywords

ENG
γ-order Normal distribution, cumulative distribution, truncated distribution, hazard rate, Maximum likelihood estimation

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Discussiones Mathematicae Probability and Statistics
2014/34/1-2
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Pages:
143-158
Main language of publication
English
Received
2014-09-18
Accepted
2014-10-06
Published
2014

DOI: 10.7151/dmps1168

Exact and natural sciences