MINIMUM QUADRATIC DISTANCE ESTIMATION FOR A PARAMETRIC FAMILY OF DISCRETE DISTRIBUTIONS DEFINED RECURSIVELY |
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Authors: | Andrew Luong José Garrido |
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Institution: | UniversitéLaved and Concordia University |
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Abstract: | The distribution function of a random sum can easily be computed iteratively when the distribution of the number of independent identically distributed elements in the sum is itself defined recursively. Classical estimation procedures for such recursive parametric families often require specific distributional assumptions (e.g. Poisson, Negative Binomial). The minimum distance estimator proposed here is an estimator within a larger parametric family. The estimator is consistent, efficient when the parametric family is truncated, and can be made either robust or asymptotically efficient when the parametric family has infinite range. Its asymptotic distribution is derived. A brief illustration with Automobile Insurance data is included. |
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Keywords: | Minimum distance estimation discrete distributions robust inference application to compound distributions |
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