Moment estimation based on quantiles. (25th June 2013)

• Record Type: Journal Article
• Authors: Ren, Haobo; Shen, Weining; Wu, Richard; Soo, Yuhwen
• Is Part Of: Wiley interdisciplinary reviews. Volume 5:Number 5(2013)
• Page Start: 387
• Page End: 390
• Publication Date: 2013-06-25
• Subjects: generalized λ distribution -- moment estimation -- quantile; Mathematical statistics -- Data processing -- Periodicals; Science -- Data processing -- Periodicals; Social sciences -- Data processing -- Periodicals; Mathematical statistics -- Periodicals; 519.50285
• DOI: 10.1002/wics.1267
• Languages: English
• ISSNs: 1939-5108

Abstract

Abstract: We consider a moment estimation problem using empirical quantiles of the data. Specifically, we estimate the sample mean and the variance based only on the minimum, the quartiles, the median and the maximum values of the data. We propose a computational solution based on fitting a refined version of a generalized λ distribution. Simulation results suggest that our method works reasonably well for a wide range of distributions. WIREs Comput Stat 2013. doi: 10.1002/wics.1267 This article is categorized under: Applications of Computational Statistics > Computational Mathematics