Stein's method of moments for truncated multivariate distributions
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2023
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| _version_ | 1866929386936074240 |
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| author | Fischer, Adrian Gaunt, Robert E. Swan, Yvik |
| author_facet | Fischer, Adrian Gaunt, Robert E. Swan, Yvik |
| contents | We use Stein characterisations to derive new moment-type estimators for the parameters of several truncated multivariate distributions in the i.i.d. case; we also derive the asymptotic properties of these estimators. Our examples include the truncated multivariate normal distribution and truncated products of independent univariate distributions. The estimators are explicit and therefore provide an interesting alternative to the maximum-likelihood estimator (MLE). The quality of these estimators is assessed through competitive simulation studies, in which we compare their behaviour to the performance of the MLE and the score matching approach. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2312_09344 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Stein's method of moments for truncated multivariate distributions Fischer, Adrian Gaunt, Robert E. Swan, Yvik Statistics Theory We use Stein characterisations to derive new moment-type estimators for the parameters of several truncated multivariate distributions in the i.i.d. case; we also derive the asymptotic properties of these estimators. Our examples include the truncated multivariate normal distribution and truncated products of independent univariate distributions. The estimators are explicit and therefore provide an interesting alternative to the maximum-likelihood estimator (MLE). The quality of these estimators is assessed through competitive simulation studies, in which we compare their behaviour to the performance of the MLE and the score matching approach. |
| title | Stein's method of moments for truncated multivariate distributions |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2312.09344 |