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Inference with the lognormal distribution

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Author Info
Nicholas Longford ()
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.

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Publisher Info
Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 1104.

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Date of creation: Jul 2008
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Handle: RePEc:upf:upfgen:1104

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Related research
Keywords: X2 distribution; efficiency; lognormal distribution; minimax estimator; Taylor expansion;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods

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  1. P. Royston, 2001. "The Lognormal Distribution as a Model for Survival Time in Cancer, With an Emphasis on Prognostic Factors," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 55(1), pages 89-104. [Downloadable!] (restricted)
  2. Zabel, Jeffrey E, 1999. "Controlling for Quality in House Price Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 19(3), pages 223-41, November. [Downloadable!] (restricted)
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