On the Estimation of Kurtosis Parameter with Missing Data in Elliptical Population(Session 4b)

Abstract

For missing data, EM algorithm is a parameter estimation method. Srivastava (1985) derived likelihood equations and likelihood ratio test without condition of missing patterns. Srivastava and Carter (1986) proposed the numerical solution for likelihood equations by Newton-Raphson method. We propose an estimator of kurtosis parameter for missing data without condition of missing patterns in elliptical population. In order to evaluate accuracy of the kurtosis parameter, the numerical results by Monte Carlo simulation for some selected values of parameters are presented. Then we make sure that it is better to utilize sample which includes missing data than to discard it.