The five-parameter generalized gamma distribution is one of the most flexible distributions in statistics. In this note, for the first time, we provide asymptotic covariances for the parameters using both the method of maximum likelihood and the method of moments.
In this paper empirical Bayes methods are applied to construct selection rules for the selection of all good exponential distributions. We modify the selection rule introduced and studied by Gupta and Liang [10] who proved that the regret risk converges to zero with rate . The aim of this paper is to study the asymptotic behavior of the conditional regret risk . It is shown that tends in distribution to a linear combination of independent -distributed random variables. As an application we...
We consider an autoregressive moving average process of order (p,q)(ARMA(p,q)) with stationary, white noise error variables having uniformly bounded fourth order moments. The characteristic polynomials of both the autoregressive and moving average components involve stable and explosive roots. The autoregressive parameters are estimated by using the instrumental variable technique while the moving average parameters are estimated through a derived autoregressive process using the same sample. The...
We study the asymptotic distributions of linear combinations of order statistics (L-statistics) which can be expressed as differentiable statistical functionals and we obtain Berry-Esseen type bounds and the Edgeworth series for the distribution functions of L-statistics. We also analyze certain saddlepoint approximations for the distribution functions of L-statistics.
For estimating the variance components of a one-way random effect model recently Uhlig (1995, 1997) and Lischer (1996) proposed non-iterative estimators with high breakdown points. These estimators base on the high breakdown point scale estimators of Rousseeuw and Croux (1992, 1993), which they called Q-estimators. In this paper the asymptotic normal distribution of the new variance components estimators is derived so that the asymptotic efficiency of these estimators can be compared with that of...