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A Note on Parameter Estimation Under a t-Model

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Abstract

We consider estimating the parameters of a t distribution. The maximum likelihood estimators (MLEs) do not have closed expressions. In this note we propose several estimators of the parameters, including some approximations of the exact MLEs, and compare them in terms of standardized bias and mean squared error. Among other things, we have presented a simple approach to estimate the degrees of freedom efficiently.

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Authors and Affiliations

  1. Department of Mathematics and Actuarial Science, Roosevelt University, 430 S. Michigan Ave, Chicago, IL, 60605, USA

    Bárbara González-Arévalo

  2. Department of Mathematics, University of Louisiana at Lafayette, 217 Maxim D. Doucet Hall, P.O.Box 41010, Lafayette, LA, 70504–1010, USA

    Nabendu Pal

Authors
  1. Bárbara González-Arévalo
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  2. Nabendu Pal
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Correspondence to Bárbara González-Arévalo.

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González-Arévalo, B., Pal, N. A Note on Parameter Estimation Under a t-Model. Sankhya B 76, 103–119 (2014). https://doi.org/10.1007/s13571-013-0075-2

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  • DOI: https://doi.org/10.1007/s13571-013-0075-2

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