One-step M-estimators: Jones and Faddy's skewed t-distribution
One-step M (OSM)-estimator needs some initial/preliminary estimates at the beginning of the calculation process. In this study, we propose to use new initial estimates for the calculation of the OSM-estimator. We consider simple location and simple linear regression models when
the distribution of the error terms is Jones and Faddy's skewed t. Monte-Carlo simulation study shows that the OSM estimator(s) based on the proposed initial estimates is/are more efficient than the OSM estimator(s) based on the traditional initial estimates especially for the skewed
cases. We also analyze some real data sets taken from the literature at the end of the paper.
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Document Type: Research Article
Department of Statistics, Anadolu University, 26470, Eskisehir, Turkey
Department of Statistics, Ondokuz Mayis University, 55139, Samsun, Turkey
Department of Statistics, Ankara University, 06100, Ankara, Turkey
July 1, 2013