| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10525864 | Statistics & Probability Letters | 2011 | 9 Pages |
Abstract
We give a general matrix formula for computing the second-order skewness of maximum likelihood estimators. The formula was firstly presented in a tensorial version by Bowman and Shenton (1998). Our matrix formulation has numerical advantages, since it requires only simple operations on matrices and vectors. We apply the second-order skewness formula to a normal model with a generalized parametrization and to an ARMA model.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Alexandre G. Patriota, Gauss M. Cordeiro,