Paper #1104

Título:

Inference with the lognormal distribution

Autor:

Nicholas Longford

Data:

Julio 2008

Resumen:

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.

Palabras clave:

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

Códigos JEL:

C13, C42

Área de investigación:

Estadística, Econometría y Métodos Cuantitativos

Publicado en:

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

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