A new estimate of skewness with mean-squared error smaller than that of the sample skewness
Title:
A new estimate of skewness with mean-squared error smaller than that of the sample skewness
Author:
Haim, Shore
Appeared in:
Communications in statistics
Paging:
Volume 25 (1996) nr. 2 pages 403-414
Year:
1996
Contents:
Recently, a new procedure for distribution fitting, based on matching of the first two moments, partial and complete, was introduced (Shore, 1995). When the sampling skewness of the fitted distribution is compared to the sample skewness, and both are regarded as estimates of the skewness of the underlying distribution, the mean-squared-error of the former is appreciably lower than that of the latter. In this paper we present some simulation results to support this claim and demonstrate its magnitude. An alternative two-moment distributional fitting procedure, based on a new family of four-parameter distributions, is also introduced and studied. Since three-moment distribution fitting is very common practice in simulation studies, these results may have important implications for the current state-of-the-art of simulation
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