Efficient maximum approximated likelihood inference for Tukey's g-and-h distribution
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Efficient maximum approximated likelihood inference for Tukey's \(g\)-and-\(h\) distribution
Efficient maximum approximated likelihood inference for Tukey's \(g\)-and-\(h\) distribution
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.
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- scientific article; zbMATH DE number 3940404
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Cited in
(12)- 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
- Robust estimation of the parameters of \(g\)-\textit{and}-\(h\) distributions, with applications to outlier detection
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- Comment
- On robust algorithm for finding maximum likelihood estimation of the generalized inverse Gaussian distribution
- Numerical maximum likelihood estimation for the \(g\)-and-\(k\) and generalized \(g\)-and-\(h\) distributions
- Parameter estimation of Tukey-type distributions: a comparative analysis
- Multivariate transformed Gaussian processes
- GS-distributions: a new family of distributions for continuous unimodal variables
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