Nonparametric recursive method for moment generating function kernel-type estimators

Salim Bouzebda and Yousri Slaoui

Statistics & Probability Letters, 2022, vol. 184, issue C

Abstract: In the present paper, we are mainly concerned with the kernel type estimators for the moment generating function. More precisely, we establish the central limit theorem together with the characterization of the bias and the variance for the nonparametric recursive kernel-type estimators for the moment generating function under some mild conditions. Finally, we investigate the performance of the methodology for small samples through a short simulation study.

Keywords: Moment generating function; Kernel type estimator; Stochastic approximation algorithm (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2022.109422

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