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Estimation of the Shape Parameter of Ged Distribution for a Small Sample Size

Author

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  • Purczyński Jan

    (Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland)

  • Bednarz-Okrzyńska Kamila

    (MA Szczecin University Faculty of Management and Economics of Services Department of Quantitative Methods Cukrowa 8, 71-004 Szczecin, Poland)

Abstract

In this paper a new method of estimating the shape parameter of generalized error distribution (GED), called ‘approximated moment method’, was proposed. The following estimators were considered: the one obtained through the maximum likelihood method (MLM), approximated fast estimator (AFE), and approximated moment method (AMM). The quality of estimator was evaluated on the basis of the value of the relative mean square error. Computer simulations were conducted using random number generators for the following shape parameters: s = 0.5, s = 1.0 (Laplace distribution) s = 2.0 (Gaussian distribution) and s = 3.0.

Suggested Citation

  • Purczyński Jan & Bednarz-Okrzyńska Kamila, 2014. "Estimation of the Shape Parameter of Ged Distribution for a Small Sample Size," Folia Oeconomica Stetinensia, Sciendo, vol. 14(1), pages 35-46, June.
    • Handle: RePEc:vrs:foeste:v:14:y:2014:i:1:p:12:n:3
    DOI: 10.2478/foli-2014-0103
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    References listed on IDEAS

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    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-368, July.
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