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Robust and Computationally Efficient Trimmed L-Moments Estimation for Parametric Distributions

Robust and Computationally Efficient Trimmed L-Moments Estimation for Parametric Distributions

来源:Arxiv_logoArxiv
英文摘要

This paper proposes a robust and computationally efficient estimation framework for fitting parametric distributions based on trimmed L-moments. Trimmed L-moments extend classical L-moment theory by downweighting or excluding extreme order statistics, resulting in estimators that are less sensitive to outliers and heavy tails. We construct estimators for both location-scale and shape parameters using asymmetric trimming schemes tailored to different moments, and establish their asymptotic properties for inferential justification using the general structural theory of L-statistics, deriving simplified single-integration expressions to ensure numerical stability. State-of-the-art algorithms are developed to resolve the sign ambiguity in estimating the scale parameter for location-scale models and the tail index for the Frechet model. The proposed estimators offer improved efficiency over traditional robust alternatives for selected asymmetric trimming configurations, while retaining closed-form expressions for a wide range of common distributions, facilitating fast and stable computation. Simulation studies demonstrate strong finite-sample performance. An application to financial claim severity modeling highlights the practical relevance and flexibility of the approach.

Chudamani Poudyal、Qian Zhao、Hari Sitaula

数学

Chudamani Poudyal,Qian Zhao,Hari Sitaula.Robust and Computationally Efficient Trimmed L-Moments Estimation for Parametric Distributions[EB/OL].(2025-05-14)[2025-06-04].https://arxiv.org/abs/2505.09860.点此复制

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