Finite-sample moments of the coefficient of variation
Bao, Yong
Finite-sample moments of the coefficient of variation created by Yong Bao - Econometric theory Volume 25, number 1 .
We study the finite-sample bias and mean squared error, when properly defined, of the sample coefficient of variation under a general distribution. We employ a Nagar-type expansion and use moments of quadratic forms to derive the results. We find that the approximate bias depends on not only the skewness but also the kurtosis of the distribution, whereas the approximate mean squared error depends on the cumulants up to order 6.
02664666
Estimation theory
HB02664666
Finite-sample moments of the coefficient of variation created by Yong Bao - Econometric theory Volume 25, number 1 .
We study the finite-sample bias and mean squared error, when properly defined, of the sample coefficient of variation under a general distribution. We employ a Nagar-type expansion and use moments of quadratic forms to derive the results. We find that the approximate bias depends on not only the skewness but also the kurtosis of the distribution, whereas the approximate mean squared error depends on the cumulants up to order 6.
02664666
Estimation theory
HB02664666