Best unbiased prediction of order statistics in stable distributions |
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| Authors: | Isaac Almasi Mohammad Mohammadi |
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| Affiliation: | 1. Department of Statistics, Faculty of Mathematics &2. Computer Science, Amirkabir University of Technology (Tehran Polytechnic), Tehran, Iran;3. Department of Statistics, Faculty of Basic Science, Behbahan Khatam Alanbia University of Technology, Behbahan, Iran |
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| Abstract: | ![]()
We introduce the best unbiased prediction of missing order statistics of a stable distribution, based on conditional expected value. We present necessary and sufficient conditions for the existence of conditional moments of stable order statistics. These conditions enable us to compute unknown parameters using the expectation-maximization algorithm. We reveal the efficiency of the presented method through a simulation study. |
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| Keywords: | EM algorithm Order statistics Prediction Stable distribution |
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