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Robust Estimation of the Parameters of g - and - h Distributions, with Applications to Outlier Detection.


ABSTRACT: The g - and - h distributional family is generated from a relatively simple transformation of the standard normal and can approximate a broad spectrum of distributions. Consequently, it is easy to use in simulation studies and has been applied in multiple areas, including risk management, stock return analysis and missing data imputation studies. A rapidly convergent quantile based least squares (QLS) estimation method to fit the g - and - h distributional family parameters is proposed and then extended to a robust version. The robust version is then used as a more general outlier detection approach. Several properties of the QLS method are derived and comparisons made with competing methods through simulation. Real data examples of microarray and stock index data are used as illustrations.

SUBMITTER: Xu Y 

PROVIDER: S-EPMC3961718 | biostudies-literature | 2014 Jul

REPOSITORIES: biostudies-literature

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Robust Estimation of the Parameters of <i>g - and - h</i> Distributions, with Applications to Outlier Detection.

Xu Yihuan Y   Iglewicz Boris B   Chervoneva Inna I  

Computational statistics & data analysis 20140701


The <i>g - and - h</i> distributional family is generated from a relatively simple transformation of the standard normal and can approximate a broad spectrum of distributions. Consequently, it is easy to use in simulation studies and has been applied in multiple areas, including risk management, stock return analysis and missing data imputation studies. A rapidly convergent quantile based least squares (QLS) estimation method to fit the <i>g - and - h</i> distributional family parameters is prop  ...[more]

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