A matrix formula for the skewness of maximum likelihood estimators

被引：4
|
作者：
Patriota, Alexandre G. [1 ]
Cordeiro, Gauss M. [2 ]
机构：
[1] Univ Sao Paulo, Dept Estat, BR-05508090 Sao Paulo, Brazil
[2] Univ Fed Rural Pernambuco, Dept Estat & Informat, Recife, PE, Brazil
来源：
STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 04期
基金：
巴西圣保罗研究基金会;
关键词：
Asymptotic expansion; Matrix operation; Maximum likelihood estimator; Skewness;
D O I：
10.1016/j.spl.2010.12.009
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We give a general matrix formula for computing the second-order skewness of maximum likelihood estimators. The formula was firstly presented in a tensorial version by Bowman and Shenton (1998). Our matrix formulation has numerical advantages, since it requires only simple operations on matrices and vectors. We apply the second-order skewness formula to a normal model with a generalized parametrization and to an ARMA model. (c) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：529 / 537
页数：9
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