A small sample comparison of maximum likelihood, moments and L-moments methods for the asymmetric exponential power distribution

Authors:
P. Delicado;M. N. Goria
Affiliations:
Departament d'Estadística i I.O., Universitat Politècnica de Catalunya, 08034-Barcelona, Spain;University of Trento, Trento, Italy
Venue:
Computational Statistics & Data Analysis
Year:
2008

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Abstract

Three methods of estimation, namely maximum likelihood, moments and L-moments, when data come from an asymmetric exponential power distribution are considered. This is a very flexible four-parameter family exhibiting variety of tail and shape behaviours. The analytical expression of the first four L-moments of these distributions are derived, allowing for the use of L-moments estimators. A simulation study compares the three estimation methods in small samples.