Approximate Maximum Likelihood Estimations for the Parameters of the Generalized Gudermannian Distribution and Its Characterizations

Abstract

Generalized Gudermannian distribution is a symmetric distribution with location and scale parameters as an alternative to the well-known symmetric distributions such as normal, Laplace, and Cauchy. This distribution has a simple closed form for the probability density function (pdf) and cumulative distribution function (cdf) and is more flexible than normal distribution based on kurtosis criterion. Certain characterizations of this distribution are presented. For this distribution, due to the nonlinear form of the likelihood equations, the maximum likelihood estimations (MLEs) of the location and scale parameters do not have closed forms and need a numerical approximation method with suitable starting values. A simple method of deriving explicit estimators by approximating the likelihood equations is presented. The bias and variance of these estimators are examined numerically and are shown that these estimators are as efficient as the maximum likelihood estimators. Some pivotal quantities are proposed for finding confidence intervals for location and scale parameters based on asymptotic normality. From the coverage probability, the MLEs do not work well especially for the small sample sizes; thus, to improve the coverage probability, simulated percentiles based on the Monte Carlo method are used. Finally, a real data set is presented to illustrate the suggested method and its inference related to this data set.