Finite-sample moments of the coefficient of variation created by Yong Bao

By:

Bao, Yong [author]

Material type: Text

TextSeries: Econometric theory ; Volume 25, number 1Cambridge: Cambridge University Press, 2009Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

02664666

Subject(s):

Estimation theory

LOC classification:

HB02664666

Online resources:

Click here to access online

Abstract: 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.

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Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB139.T52 ECO (Browse shelf(Opens below))	Vol. 25, no.1 (pages 291-297)	SP3256	Not for loan	For In House Use Only

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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.

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