On non-existence of moment estimators of the GED power parameter
We reconsider the problem of the power (also called shape) parameter estimation within symmetric, zero-mean, unit-variance one-parameter Generalized Error Distribution family. Focusing on moment estimators for the parameter in question, through extensive Monte Carlo simulations we analyze the probability of non-existence of moment estimators for small and moderate samples, depending on the shape parameter value and the sample size. We consider a nonparametric bootstrap approach and prove its consistency....