<abstract xmlns="http://www.w3.org/1999/xhtml"><p> In this paper a new method of estimating the shape parameter of generalized error distribution (GED), called ‘approximated moment method’, was proposed. The following estimators were considered: the one obtained through the maximum likelihood method (MLM), approximated fast estimator (AFE), and approximated moment method (AMM). The quality of estimator was evaluated on the basis of the value of the relative mean square error. Computer simulations were conducted using random number generators for the following shape parameters: s = 0.5, s = 1.0 (Laplace distribution) s = 2.0 (Gaussian distribution) and s = 3.0.</p></abstract>

In this paper a new method of estimating the shape parameter of generalized error distribution (GED), called ‘approximated moment method’, was proposed. The following estimators were considered: the one obtained through the maximum likelihood method (MLM), approximated fast estimator (AFE), and approximated moment method (AMM). The quality of estimator was evaluated on the basis of the value of the relative mean square error. Computer simulations were conducted using random number generators for the following shape parameters: s = 0.5, s = 1.0 (Laplace distribution) s = 2.0 (Gaussian distribution) and s = 3.0.

Estimation of the Shape Parameter of Ged Distribution for a Small Sample Size

Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland

MA Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Estimation of the Shape Parameter of Ged Distribution for a Small Sample Size"}

In this paper a new method of estimating the shape parameter of generalized error distribution (GED), called ‘approximated moment method’, was proposed. The...

Estimation of the Shape Parameter of Ged Distribution for a Small Sample Size

Data publikacji: 11 gru 2014

Zakres stron: 35 - 46

Otrzymano: 28 paź 2013

Przyjęty: 01 lip 2014

DOI: https://doi.org/10.2478/foli-2014-0103

Słowa kluczowe
estimating parameters of GED distribution

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Estimation of the Shape Parameter of Ged Distribution for a Small Sample Size

Data publikacji: 11 gru 2014

Zakres stron: 35 - 46

Otrzymano: 28 paź 2013

Przyjęty: 01 lip 2014

DOI: https://doi.org/10.2478/foli-2014-0103

Słowa kluczoweestimating parameters of GED distribution

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Słowa kluczowe
estimating parameters of GED distribution