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2016 | 36 | 1-2 | 5-23
Tytuł artykułu

On non-existence of moment estimators of the GED power parameter

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Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
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.
Twórcy
  • Cracow University of Technology, Institute of Mathematics
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1185
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