Influence diagnostics on the coefficient of variation of elliptically contoured distributions

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dc.catalogadoryvc
dc.contributor.authorRiquelme, Marco
dc.contributor.authorLeiva, Víctor
dc.contributor.authorGalea Rojas, Manuel Jesús
dc.contributor.authorSanhueza, Antonio
dc.date.accessioned2024-04-19T16:35:40Z
dc.date.available2024-04-19T16:35:40Z
dc.date.issued2011
dc.description.abstractIn this article, we study the behavior of the coefficient of variation (CV) of a random variable that follows a symmetric distribution in the real line. Specifically, we estimate this coefficient using the maximum-likelihood (ML) method. In addition, we provide asymptotic inference for this parameter, which allows us to contrast hypothesis and construct confidence intervals. Furthermore, we produce influence diagnostics to evaluate the sensitivity of the ML estimate of this coefficient when atypical data are present. Moreover, we illustrate the obtained results by using financial real data. Finally, we carry out a simulation study to detect the potential influence of atypical observations on the ML estimator of the CV of a symmetric distribution. The illustration and simulation demonstrate the robustness of the ML estimation of this coefficient.
dc.description.funderFONDECYT
dc.fechaingreso.objetodigital2024-04-19
dc.fuente.origenHistorial Académico
dc.identifier.citationRiguelme, M., Leiva, V., Galea, M., Sanhueza, A. (2011) Influence diagnostics on the coefficient of variation of elliptically contoured distributions. Journal Of Applied Statistics. Vol.38, no.3, pp:513-532.
dc.identifier.issn0266-4763
dc.identifier.urihttps://doi.org/10.1080/02664760903521427
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/85259
dc.information.autorucFacultad de Matemática ; Galea Rojas, Manuel Jesús ; 0000-0001-9819-5843 ; 1008589
dc.issue.numero3
dc.language.isoen
dc.nota.accesocontenido parcial
dc.pagina.final532
dc.pagina.inicio513
dc.revistaJournal of Applied Statistics
dc.rightsacceso restringido
dc.subjectFinancial data
dc.subjectLikelihood methods
dc.subjectLocal influence
dc.subjectRobustness
dc.subjectStatistical Inference
dc.subject.ddc510
dc.subject.deweyMatemática física y químicaes_ES
dc.titleInfluence diagnostics on the coefficient of variation of elliptically contoured distributions
dc.typeartículo
dc.volumen38
sipa.codpersvinculados1008589
sipa.trazabilidadHistorial Académico;09-07-2021
sipa.trazabilidadORCID;2024-04-19
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