Estimation of the Shape Parameter of Ged Distribution for a Small Sample Size

Purczyński Jan () and Bednarz-Okrzyńska Kamila ()
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Purczyński Jan: Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland
Bednarz-Okrzyńska Kamila: MA Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland

Folia Oeconomica Stetinensia, 2014, vol. 14, issue 1, 35-46

Abstract: In this paper a new method of estimating the shape parameter of generalized error distribution (GED), called ‘approximated moment method’, was proposed. The following estimators were considered: the one obtained through the maximum likelihood method (MLM), approximated fast estimator (AFE), and approximated moment method (AMM). The quality of estimator was evaluated on the basis of the value of the relative mean square error. Computer simulations were conducted using random number generators for the following shape parameters: s = 0.5, s = 1.0 (Laplace distribution) s = 2.0 (Gaussian distribution) and s = 3.0.

Keywords: estimating; parameters; of; GED; distribution (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:14:y:2014:i:1:p:12:n:3

DOI: 10.2478/foli-2014-0103

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