10.6092/ISSN.1973-2201/342
Mineo, A. M.
A. M.
Mineo
On the estimation of the structure parameter of a normal distribution of order p
Dep. of Statistical Sciences "Paolo Fortunati", Università di Bologna
2007
PDF Document
2007
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Statistica; Vol 63, No 1 (2003); 109-122
In this paper we compare four different approaches to estimate the structure parameter of a normal distribution of order p (often called exponential power distribution). In particular, we have considered the maximization of the log-likelihood, of the profile log-likelihood, of the conditional profile log-likelihood and a method based on an index of kurtosis. The results of a simulation study seem to indicate the latter approach as the best.
Statistica; Vol 63, No 1 (2003); 109-122