Inference on model parameters with many L-moments
使用大量 L 矩的模型参数推断
This paper studies parameter estimation using L-moments, an alternative to traditional moments with attractive statistical properties. The estimation of model parameters by matching sample L-moments is known to outperform maximum likelihood estimation (MLE) in small samples from popular distributions. The choice of the number of L-moments used in estimation remains ad-hoc, though: researchers typically set the number of L-moments equal to the number of parameters, which is…