Paper #1104

Title:

Inference with the lognormal distribution

Author:

Nicholas Longford

Date:

July 2008

Abstract:

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.

Keywords:

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

JEL codes:

C13, C42

Area of Research:

Statistics, Econometrics and Quantitative Methods

Published in:

Journal of Statistical Planning and Inference,
With the title:
Vol. 139, pages 2329-2340, 2009

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