Censoring heavy-tail count distributions for parameter estimation with an application to stable distributions

DOI10.1016/J.SPL.2023.109903MaRDI QIDQ6137834zbMATH OpenOpenAlexFDO

Authors Marzia Marcheselli, Caterina Pisani, Luca Pratelli

Publication date 4 September 2023

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2212.11697

zbMATH Keywords

asymptotic normalityconsistencyprobability generating functiondata-driven

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Characterization and structure theory of statistical distributions (62E10)

Abstract: Some families of count distributions do not have a closed form of the probability mass function and/or finite moments and therefore parameter estimation can not be performed with the classical methods. When the probability generating function of the distribution is available, a new approach based on censoring and moment criterion is introduced, where the original distribution is replaced with that censored by using a Geometric distribution. Consistency and asymptotic normality of the resulting estimators are proven under suitable conditions. The crucial issue of selecting the censoring parameter is addressed by means of a data-driven procedure. Finally, this novel approach is applied to the discrete stable family and the finite sample performance of the estimators is assessed by means of a Monte Carlo simulation study.

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Cites work

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Cited in

(3)

• Event count estimation
• Some simple method of estimation for the parameters of the discrete stable distribution with the probability generating function
• Parameter Estimation for the Discrete Stable Family

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