Nonparametric recursive method for moment generating function kernel-type estimators

Salim Bouzebda (1) , Yousri Slaoui (2)

1 LMAC - Laboratoire de Mathématiques Appliquées de Compiègne
2 LMA [Poitiers] - Laboratoire de mathématiques et applications [UMR 7348]

n the present paper, we are mainly concerned with the kernel type estimators for the moment generating function. More precisely, we establish the central limit theorem together with the characterization of the bias and the variance for the nonparametric recursive kernel-type estimators for the moment generating function under some mild conditions. Finally, we investigate the performance of the methodology for small samples through a short simulation study.

Mots clés: Moment generating function; Kernel type estimator; Stochastic approximation algorithm; Moment generating function

Domaines: Statistiques [math.ST]

Salim Bouzebda, Yousri Slaoui. Nonparametric recursive method for moment generating function kernel-type estimators. Statistics and Probability Letters, 2022, 184, pp.109422. ⟨10.1016/j.spl.2022.109422⟩. ⟨hal-04389629⟩