Inference with the lognormal distribution
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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- Zabel, Jeffrey E, 1999. "Controlling for Quality in House Price Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 19(3), pages 223-241, November. Full references (including those not matched with items on IDEAS)
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