oa Journal of Applied Science in Southern Africa - Parameter estimation using probability transforms

Abstract

A simple and yet sound statistical procedure for parameter estimation based on probability transforms is developed. Probability transforms are well-known to be very important and consequently widely used in statistics to investigate properties of probability distributions or descriptionbe statistical properties of random variables. However, from the statistics literature, in particular Estimation Theory, probability transforms are not commonly used for parameter estimation and inference in general. The procedure is shown to give unbiased, consistent and asymptotic normal estimates.