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.
References listed on IDEAS
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- 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.
- Longford, N.T. & Pittau, M.G., 2006.
"Stability of household income in European countries in the 1990s,"
Computational Statistics & Data Analysis,
Elsevier, vol. 51(2), pages 1364-1383, November.
- 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.
- 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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