Paper #1104

Títol:

Inference with the lognormal distribution

Autor:

Nicholas Longford

Data:

Juliol 2008

Resum:

Several estimators of the expectation, median and mode of the lognormal distribution are derived. They aim to be approximately unbiased, efficient, or have a minimax property in the class of estimators we introduce. The small-sample properties of these estimators are assessed by simulations and, when possible, analytically. Some of these estimators of the expectation are far more efficient than the maximum likelihood or the minimum-variance unbiased estimator, even for substantial samplesizes.

Paraules clau:

X2 distribution, efficiency, lognormal distribution, minimax estimator, Taylor expansion

Codis JEL:

C13, C42

Àrea de Recerca:

Estadística, Econometria i Mètodes Quantitatius

Publicat a:

Journal of Statistical Planning and Inference,
Amb el títol:
Vol. 139, pages 2329-2340, 2009

Descarregar el paper en format PDF