A Note on Parameter Estimation Under a t-Model

被引：1

作者：

González-Arévalo B. ^{[1
]}

Pal N. ^{[2
]}

机构：

[1] Department of Mathematics and Actuarial Science, Roosevelt University, 430 S. Michigan Ave, Chicago, 60605, IL

[2] Department of Mathematics, University of Louisiana at Lafayette, 217 Maxim D. Doucet Hall, P.O.Box 41010, Lafayette, 70504–1010, LA

来源：

Sankhya B | 2014年 / 76卷 / 1期

关键词：

Distribution, robust estimation, normality assumption, degrees of freedom.; Primary 62B07; Secondary 62B99;

D O I：

10.1007/s13571-013-0075-2

中图分类号：

学科分类号：

摘要：

We consider estimating the parameters of a t distribution. The maximum likelihood estimators (MLEs) do not have closed expressions. In this note we propose several estimators of the parameters, including some approximations of the exact MLEs, and compare them in terms of standardized bias and mean squared error. Among other things, we have presented a simple approach to estimate the degrees of freedom efficiently. © 2013, Indian Statistical Institute.

引用

页码：103 / 119

页数：16

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