Parameter estimation of Tukey-type distributions: A comparative analysis

Möstel L, Fischer M, Pfaelzner F, Pfeuffer M (2019)


Publication Type: Journal article

Publication year: 2019

Journal

DOI: 10.1080/03610918.2019.1571604

Abstract

Tukey-type distributions (a generalization of Tukey's gh(normal)-distribution) are attractive for a broad spectrum of applications since they can explicitly model flexible skewness and kurtosis features of practical data. However, since the likelihood function is not available in closed-form, the derivation of an accurate estimation method plays a crucial role and henceforth various procedures to overcome this issue were introduced, especially for Tukey's gh(normal)-distribution. After extending these approaches to all Tukey-type distributions, our main contribution is to provide a comprehensive simulation study to compare the methods against each other. Moreover, we illustrate the practical usage for the Nikkei225 stock index data.

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APA:

Möstel, L., Fischer, M., Pfaelzner, F., & Pfeuffer, M. (2019). Parameter estimation of Tukey-type distributions: A comparative analysis. Communications in Statistics-Simulation and Computation. https://dx.doi.org/10.1080/03610918.2019.1571604

MLA:

Möstel, Linda, et al. "Parameter estimation of Tukey-type distributions: A comparative analysis." Communications in Statistics-Simulation and Computation (2019).

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