Bias-reduced estimates for skewness, kurtosis, L-skewness and L-kurtosis |
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Authors: | Christopher S WithersSaralees Nadarajah |
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Institution: | a Applied Mathematics Group, Industrial Research Limited, Lower Hutt, New Zealand b School of Mathematics, University of Manchester, Manchester M13 9PL, UK |
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Abstract: | Estimates based on L-moments are less non-robust than estimates based on ordinary moments because the former are linear combinations of order statistics for all orders, whereas the later take increasing powers of deviations from the mean as the order increases. Estimates based on L-moments can also be more efficient than maximum likelihood estimates. Similarly, L-skewness and L-kurtosis are less non-robust and more informative than the traditional measures of skewness and kurtosis. Here, we give nonparametric bias-reduced estimates of both types of skewness and kurtosis. Their asymptotic computational efficiency is infinitely better than that of corresponding bootstrapped estimates. |
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Keywords: | Bias Kurtosis L-moments Maximum Nonparametric Skewness |
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