Novel Estimator for the Location Parameter of the Generalized Gaussian Distribution

The estimation of the location parameter of the generalized Gaussian distribution with shape parameter p ≥ 2 is studied and a novel estimator, based on an approximation to the maximum likelihood estimator, is proposed. The new estimator is simple with low complexity and is proved to be unbiased. Numerical results show that the mean square error of the new estimator is much lower than that of the widely used mean estimator. The new estimator has almost identical mean square error as the maximum likelihood estimator.