Estimation and tests under L-moment condition models

DOI10.1007/978-3-642-40020-9_50MaRDI QIDQ5410565zbMATH OpenOpenAlexFDO

Authors Alexis Decurninge

Publication date 16 April 2014

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.6013

Mathematics Subject Classification ID

Nonparametric estimation (62G05)

Abstract: Univariate L-moments are expressed as projections of the quantile function onto an orthogonal basis of polynomials in $L_2([0;1],mathbbR)$. We present multivariate versions of L-moments expressed as collections of orthogonal projections of a multivariate quantile function on a basis of multivariate polynomials in $L_2([0;1{]}^d,mathbbR)$. We propose to consider quantile functions defined as transport from the uniform distribution on $[0;1{]}^d$ onto the distribution of interest. In particular, we present the quantiles defined by the transport of Rosenblatt and the optimal transport and the properties of the subsequent L-moments.

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(2)

• Divergences and duality for estimation and test under moment condition models
• Orthogonal projection L-moment estimators for three parameter distributions

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