MLE for the γ-order Generalized Normal Distribution

• Autorzy: Christos P. Kitsos , Vassilios G. Vassiliadis , Thomas L. Toulias
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

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

Kategorie tematyczne

• 62E15: Exact distribution theory
• 62H10: Distribution of statistics
• 94A17: Measures of information, entropy
• 60E05: Distributions: general theory

• Wydawca: Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra
• Czasopismo: Discussiones Mathematicae Probability and Statistics
• Rocznik: 2014
• Tom: 34
• Numer: 1-2
• Strony: 143-158

Daty

wydano

2014

otrzymano

2014-09-18

poprawiono

2014-10-06

Twórcy

autor

Christos P. Kitsos

• Technological Educational Institute of Athens, Greece

autor

Vassilios G. Vassiliadis

• Democritus University of Thrace, Greece

autor

Thomas L. Toulias

• Technological Educational Institute of Athens, Greece

Bibliografia

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Identyfikatory

DOI

10.7151/dmps1168