Improving the performance of kurtosis estimator

被引：19

作者：

An, Lihua ^{[1
]}

Ahmed, S. Ejaz ^{[1
]}

机构：

[1] Univ Windsor, Dept Math & Stat, Windsor, ON N9B 3P4, Canada

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2008年 / 52卷 / 05期

基金：

加拿大自然科学与工程研究理事会;

关键词：

kurtosis; mean squared error; Monte Carlo simulation; coefficient of variation; bootstrapping;

D O I：

10.1016/j.csda.2007.09.024

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In this communication, sample measures of kurtosis adapted by various software packages are compared for data from normal and non-normal populations. Further, two improved estimators of population kurtosis are proposed and their performance is compared with the currently used measures. The suggested estimators have considerably lower mean squared error (MSE) for various sampling designs in our simulation study. Two empirical examples are given to illustrate the usefulness of suggested estimators in practice. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：2669 / 2681

页数：13

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