Estimation of Moment Parameter in Elliptical Distributions

Yosihito Maruyama; Takashi Seo

doi:10.14490/jjss.33.215

論文

Estimation of Moment Parameter in Elliptical Distributions

著者情報

キーワード: asymptotic expansion, consistent estimator, elliptical distribution, kurtosis parameter, moment parameter, Monte Carlo simulation, perturbation method

ジャーナルフリー

2003 年 33 巻 2 号 p. 215-229

DOI https://doi.org/10.14490/jjss.33.215

詳細

抄録

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.

責任著者(Corresponding author)

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