A comparison of methods of estimation of parameters of Tukey’s gh family of distributions. | [Pakistan Journal of Statistics • 2008]

Author(s):

1. M. Mahbubul: Department of Statistics, Iowa State University Ames, lowa, USA

2. A. Majumder: Department of Statistics, Iowa State University Ames, lowa, USA

3. M. Masoom Ali: Department of Mathematical Sciences, Ball State University Muncie, IN 47306

Abstract:

The gh family of distributions proposed by Tukey (1977) based on a transformation of the standard normal variable does not have any explicit mathematical form. Thus the study of this distribution requires extensive numerical computations. In this paper we study the numerical methods of estimating the parameters g and h. We compare the three methods namely quantile method, method of moments and maximum likelihood method by using simulation technique. We have found that maximum likelihood method is more efficient than the other two methods though it requires much more computational load.

Page(s): 135-144

DOI: DOI not available

Published: Journal: Pakistan Journal of Statistics, Volume: 24, Issue: 2, Year: 2008

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