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Folia Oeconomica Stetinensia

The Journal of University of Szczecin

2 Issues per year

Open Access
Online
ISSN
1898-0198
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Estimation of the Shape Parameter of Ged Distribution for a Small Sample Size

Prof. Jan Purczyński
  • Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland
  • Email:
/ Kamila Bednarz-Okrzyńska
  • MA Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland
  • Email:
Published Online: 2014-12-11 | DOI: https://doi.org/10.2478/foli-2014-0103

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

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About the article

Received: 2013-10-28

Accepted: 2014-07-01

Published Online: 2014-12-11

Published in Print: 2014-06-01


Citation Information: Folia Oeconomica Stetinensia, ISSN (Online) 1898-0198, DOI: https://doi.org/10.2478/foli-2014-0103. Export Citation

© University of Szczecin. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License. (CC BY-NC-ND 3.0)

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