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Minimum distance estimators for count data based on the probability generating function with applications

Author

Listed:
  • M. D. Jiménez-Gamero

    (Universidad de Sevilla)

  • A. Batsidis

    (University of Ioannina)

Abstract

This paper studies properties of parameter estimators obtained by minimizing a distance between the empirical probability generating function and the probability generating function of a model for count data. Specifically, it is shown that, under certain not restrictive conditions, the resulting estimators are consistent and, suitably normalized, asymptotically normal. These properties hold even if the model is misspecified. Three applications of the obtained results are considered. First, we revisit the goodness-of-fit problem for count data and propose a weighted bootstrap estimator of the null distribution of test statistics based on the above cited distance. Second, we give a probability generating function version of the model selection test problem for separate, overlapping and nested families of distributions. Finally, we provide an application to the problem of testing for separate families of distributions. All applications are illustrated with numerical examples.

Suggested Citation

  • M. D. Jiménez-Gamero & A. Batsidis, 2017. "Minimum distance estimators for count data based on the probability generating function with applications," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(5), pages 503-545, July.
    • Handle: RePEc:spr:metrik:v:80:y:2017:i:5:d:10.1007_s00184-017-0614-3
    DOI: 10.1007/s00184-017-0614-3
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    References listed on IDEAS

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    2. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-333, March.
    3. Jiménez-Gamero, M. Dolores & Kim, Hyoung-Moon, 2015. "Fast goodness-of-fit tests based on the characteristic function," Computational Statistics & Data Analysis, Elsevier, vol. 89(C), pages 172-191.
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    10. M. Jiménez-Gamero & A. Batsidis & M. Alba-Fernández, 2016. "Fourier methods for model selection," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(1), pages 105-133, February.
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    Cited by:

    1. Thomas Gkelsinis & Alex Karagrigoriou, 2020. "Theoretical Aspects on Measures of Directed Information with Simulations," Mathematics, MDPI, vol. 8(4), pages 1-13, April.
    2. Apostolos Batsidis & María Dolores Jiménez-Gamero & Artur J. Lemonte, 2020. "On goodness-of-fit tests for the Bell distribution," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(3), pages 297-319, April.
    3. Jiménez-Gamero, M.D. & Alba-Fernández, M.V., 2021. "A test for the geometric distribution based on linear regression of order statistics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 186(C), pages 103-123.
    4. Jiménez-Gamero, M.D. & Alba-Fernández, M.V., 2019. "Testing for the Poisson–Tweedie distribution," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 164(C), pages 146-162.

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