A simple approach to the estimation of Tukey's gh distribution

DOI10.1080/00949655.2016.1164159OpenAlexW2331368720MaRDI QIDQ5221530

Luca Trapin, Marco Bee

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2016.1164159

zbMATH Keywords

approximate Bayesian computationrisk measurementapproximate maximum likelihoodaccept-reject algorithm

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)

Related Items (7)

Approximate maximum likelihood estimation of the Bingham distribution ⋮ Parameter estimation of Tukey-type distributions: A comparative analysis ⋮ Testing a parameter restriction on the boundary for the g-and-h distribution: a simulated approach ⋮ A characteristic function-based approach to approximate maximum likelihood estimation ⋮ Performances of some goodness-of-fit tests for sampling designs in ranked set sampling ⋮ The truncated g-and-h distribution: estimation and application to loss modeling ⋮ Estimating large losses in insurance analytics and operational risk using the g-and-h distribution

Uses Software

• Rcpp
• QRM
• bootstrap

Cites Work

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• Asymmetric Least Squares Estimation and Testing
• A comparative review of dimension reduction methods in approximate Bayesian computation
• Numerical maximum likelihood estimation for the \(g\)-and-\(k\) and generalized \(g\)-and-\(h\) distributions
• Approximate Bayesian computational methods
• Robustness of ranking and selection rules using generalised \(g\)-and-\(k\) distributions
• A simple approach to maximum intractable likelihood estimation
• Some properties of the tukey g and h family of distributions
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

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