Influence diagnostics on the coefficient of variation of elliptically contoured distributions

Marco Riquelme, VICTOR ELISEO LEIVA SANCHEZ, Manuel Galea, Antonio Sanhueza

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7 Scopus citations

Abstract

In 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 maximumlikelihood (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.

Original languageEnglish
Pages (from-to)513-532
Number of pages20
JournalJournal of Applied Statistics
Volume38
Issue number3
DOIs
StatePublished - 1 Mar 2011

Keywords

  • Financial data
  • Likelihood methods
  • Local influence
  • Robustness
  • Statistical inference

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