A matrix formula for the skewness of maximum likelihood estimators
| Contribuinte(s) |
UNIVERSIDADE DE SÃO PAULO |
|---|---|
| Data(s) |
20/10/2012
20/10/2012
2011
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| Resumo |
We give a general matrix formula for computing the second-order skewness of maximum likelihood estimators. The formula was firstly presented in a tensorial version by Bowman and Shenton (1998). Our matrix formulation has numerical advantages, since it requires only simple operations on matrices and vectors. We apply the second-order skewness formula to a normal model with a generalized parametrization and to an ARMA model. (c) 2010 Elsevier B.V. All rights reserved. FAPESP Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) CNPQ (Brazil) |
| Identificador |
STATISTICS & PROBABILITY LETTERS, v.81, n.4, p.529-537, 2011 0167-7152 http://producao.usp.br/handle/BDPI/30763 10.1016/j.spl.2010.12.009 |
| Idioma(s) |
eng |
| Publicador |
ELSEVIER SCIENCE BV |
| Relação |
Statistics & Probability Letters |
| Direitos |
restrictedAccess Copyright ELSEVIER SCIENCE BV |
| Palavras-Chave | #Asymptotic expansion #Matrix operation #Maximum likelihood estimator #Skewness #Statistics & Probability |
| Tipo |
article original article publishedVersion |
