PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

A small sample comparison of maximum likelihood, moments and L-moments methods for the asymmetric exponential power distribution
Pedro Delicado and M. Goria
Computational Statistics and Data Analysis Volume 52, Number 3, pp. 1661-1673, 2008. ISSN 0167-9473

Abstract

Three methods of estimation, namely maximum likelihood, moments and L-moments, when data come from an asymmetric exponential power distribution are considered. This is a very flexible four-parameter family exhibiting variety of tail and shape behaviours. The analytical expression of the first four L-moments of these distributions are derived, allowing for the use of L-moments estimators. A simulation study compares the three estimation methods in small samples.

EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Computational, Information-Theoretic Learning with Statistics
ID Code:3407
Deposited By:Pedro Delicado
Deposited On:10 February 2008