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Inference with the lognormal distribution;
Vol. 139, pages 2329-2340, 2009
Longford, Nicholas
Universitat Pompeu Fabra. Departament d'Economia i Empresa
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.
2008-09-25
Statistics, Econometrics and Quantitative Methods
x2 distribution
efficiency
lognormal distribution
minimax estimator
taylor expansion
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