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Estimation under L-moment condition models

IEEE Transactions on Information Theory (IEEE Trans. Inf. Theory), 2014
Abstract

We present semi-parametric models conditioned by constraints on a finite number of L-moments. For the estimation of the parameters of these models, we consider M-estimators defined through the minimization of a divergence criterion. We illustrate their behavior especially for the estimation of the shape parameter of a heavy-tailed distributions.

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