Score Function of Distribution and Revival of the Moment Method

0458402 - ÚI 2017 RIV US eng J - Článek v odborném periodiku
Fabián, Zdeněk
Score Function of Distribution and Revival of the Moment Method.
Communications in Statistics - Theory and Methods. Roč. 45, č. 4 (2016), s. 1118-1136. ISSN 0361-0926. E-ISSN 1532-415X
Grant CEP: GA MŠMT(CZ) LG12020
Institucionální podpora: RVO:67985807
Klíčová slova: characteristics of distributions * data characteristics * general moment method * Huber moment estimator * parametric methods * score function
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
Impakt faktor: 0.311, rok: 2016

The article deals with the scalar-valued score function defined for any regular unimodal and continuous probability distribution with arbitrary interval support, recently introduced by the author. Function values describe the relative influence of observed values under the given model with respect to a certain 'center point' of the distribution. By means of the function is introduced a generalized moment method of parametric estimation, giving estimates with a 'natural' tradeoff between efficiency a robustness. Inference function used in the estimating equations is either the bounded score function of distribution of heavy-tailed models or its simple modification based on the Huber’s approach if the function is unbounded.
Trvalý link: http://hdl.handle.net/11104/0258666