Inference with the lognormal distribution

• Autores: Nicholas T. Longford
• Localización: Working Papers ( Universitat Pompeu Fabra. Departamento de Economía y Empresa ), Nº. 1104, 2008
• Idioma: inglés
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• Resumen

  • 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.