Although estimating the five parameters of an unknown Generalized Normal Laplace (GNL) density by minimizing the distance between the empirical and true characteristic functions seems appealing, the approach cannot be advocated in practice. This conclusion is based on extensive numerical simulations in which a fast minimization procedure delivers deceiving estimators with values that are quite far away from the truth. These findings can be predicted by the very large values obtained for the true asymptotic variances of the estimators of the five parameters of the true GNL density.
|Number of pages
|Communications in Statistics: Simulation and Computation
|Published - May 28 2017
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© 2017 Taylor & Francis Group, LLC.
- Characteristic function
- Generalized Normal Laplace
- Least square
- Pólya frequency function