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Score Function of Distribution and Revival of the Moment Method

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    0458402 - ÚI 2017 RIV US eng J - Journal Article
    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
    R&D Projects: GA MŠk(CZ) LG12020
    Institutional support: RVO:67985807
    Keywords : characteristics of distributions * data characteristics * general moment method * Huber moment estimator * parametric methods * score function
    Subject RIV: BB - Applied Statistics, Operational Research
    Impact factor: 0.311, year: 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.
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