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文章基本信息

  • 标题:Estimation of Moment Parameter in Elliptical Distributions
  • 本地全文:下载
  • 作者:Yosihito Maruyama ; Takashi Seo
  • 期刊名称:JOURNAL OF THE JAPAN STATISTICAL SOCIETY
  • 印刷版ISSN:1882-2754
  • 电子版ISSN:1348-6365
  • 出版年度:2003
  • 卷号:33
  • 期号:2
  • 页码:215-229
  • DOI:10.14490/jjss.33.215
  • 出版社:JAPAN STATISTICAL SOCIETY
  • 摘要:

    As a typical non-normal case, we consider a family of elliptically symmetric distributions. Then, the moment parameter and its consistent estimator are presented. Also, the asymptotic expectation and the asymptotic variance of the consistent estimator of the general moment parameter are given. Besides, the numerical results obtained by Monte Carlo simulation for some selected parameters are provided.

  • 关键词:asymptotic expansion; consistent estimator; elliptical distribution; kurtosis parameter; moment parameter; Monte Carlo simulation; perturbation method
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