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Inference with the lognormal distribution

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    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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    Bibliographic 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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    Web page: http://www.econ.upf.edu/

    Related research

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

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    1. Longford, Nicholas T. & Pittau, Maria Grazia, 2003. "Stability of household income in European countries in the 1990's," IRISS Working Paper Series 2003-08, IRISS at CEPS/INSTEAD.
    2. 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.
    3. 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.
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