Statistics and Risk Management and MMA AEIO and MMA Financial Mathematics Seminar - 12/11/2014

Wednesday, 12 November 2014, 2:10 p.m.

Lecturer: Talha Arslan, Eskisehir Osmangazi University, Department of Statistics, 26480, Eskisehir, Turkey

Title: "Parameter Estimation for the Jones and Faddy’s Skew t Distribution based on Type II Censored Samples"

Local: Room 1.5, Edifício VII
Faculdade de Ciências e Tecnologia, Quinta da Torre, Caparica

Abstract: In this study, we estimate the location and the scale parameters of Jones and Faddy’s Skew t (JFST) distribution based on Type II censored sample by using the methodology known as the Maximum Likelihood (ML) and the Least Squares (LS) estimators. For solving the ML equations, we use the Iteratively Reweighted Algorithm (IRA) and the Modified Maximum Likelihood (MML) method to solve the ML equations for the unknown parameters. Then, we compare efficiencies of the ML estimator based on IRA (MLIRA), MML estimator and LS estimator of the parameters by using Monte Carlo simulation study. Simulation studies showed that the MML estimators are more efficient than the LS and MLIRA estimators especially for the skewed cases.