Efficient maximum approximated likelihood inference for Tukey's g-and-h distribution
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Publication:1663194
DOI10.1016/J.CSDA.2015.06.002zbMATH Open1468.62215arXiv1506.00878OpenAlexW2106808248MaRDI QIDQ1663194FDOQ1663194
Publication date: 21 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Abstract: Tukey's -and- distribution has been a powerful tool for data exploration and modeling since its introduction. However, two long standing challenges associated with this distribution family have remained unsolved until this day: how to find an optimal estimation procedure and how to make valid statistical inference on unknown parameters. To overcome these two challenges, a computationally efficient estimation procedure based on maximizing an approximated likelihood function of the Tukey's -and- distribution is proposed and is shown to have the same estimation efficiency as the maximum likelihood estimator under mild conditions. The asymptotic distribution of the proposed estimator is derived and a series of approximated likelihood ratio test statistics are developed to conduct hypothesis tests involving two shape parameters of Tukey's -and- distribution. Simulation examples and an analysis of air pollution data are used to demonstrate the effectiveness of the proposed estimation and testing procedures.
Full work available at URL: https://arxiv.org/abs/1506.00878
skewnessapproximated likelihood ratio testcomputationally efficientmaximum approximated likelihood estimatorTukey's \(g\)-and-\(h\) distribution
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Cited In (7)
- Nearest neighbors weighted composite likelihood based on pairs for (non-)Gaussian massive spatial data with an application to Tukey-\(hh\) random fields estimation
- Testing a parameter restriction on the boundary for the g-and-h distribution: a simulated approach
- Assessing the effective sample size for large spatial datasets: a block likelihood approach
- Parameter estimation of Tukey-type distributions: A comparative analysis
- Non-Gaussian autoregressive processes with Tukey \(g\)-and-\(h\) transformations
- Comment
- Multivariate transformed Gaussian processes
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