Nonlinear Lp-norm estimation: Part II: The asymptotic distribution gf the exponent,p, as a function of the sample kurtosis. |
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| Authors: | R. Gonin A. H. Money |
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| Affiliation: | 1. Institute for Biostatistics , Medical Research Council , Cape Town, South Africa;2. University of Cape Town , Graduate School of Business , Cape Town, South Africa |
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| Abstract: | In this paper it will be shown that the exponent p in Lp,-norm P estimation as an explicit function of the sample kurtosis is asymptotically normally distributed. The asymptotic variances of p for two sllch formulae are derived. An alternative formula which implicitly relates p to the sample kurtosis is also discussed. An adaptive procedure for the selection of p when the underlying error distribution is unknown is also suggested. This procedure is used to verify empirically that the asymptotic distribution of p is normal. |
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| Keywords: | asymptotic distribution norml kurtosis monte carlo simulation |
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