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 Post subject: statistical estimate momentsPosted: Mon, 16 Apr 2012 22:56:49 UTC
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In statistics, given some sample data, one typically wants to get estimates of variance and other statistical quantities. Since the mean is usually unknown the sample average is used to get the estimates for these items. In that case a correction is needed to get an an unbiased estimate.

For the variance, when averaging the squares of the the differences between the sample values and the sample average, a correction n/(n-1) must be applied to get an unbiased estimate.

For the third central moment the factor is n^2/[(n-1)(n-2)].

I guess the general formula for the kth central moment factor would be (n-k)!n^k/n!

Has this been derived and is there a neat way to do it? I used brute force to get the second and third moments.

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 Post subject: Re: statistical estimate momentsPosted: Tue, 17 Apr 2012 14:50:33 UTC
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Try a search for "U-statistic", for example, the article at U-statistics gives a fairly decent explanation. "Neat" is in the eye of the beholder, but the short answer to your question is "yes".

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 Post subject: Re: statistical estimate momentsPosted: Tue, 17 Apr 2012 22:11:42 UTC
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raortega3 wrote:
The first portion of your question is referring to parameter estimation.

When you refer to the variance, I'm not sure if this is what you were implying but it isn't the 2nd moment.

Variance(x) = E(x^2) - E(x)^2, where E(x^2) is the 2nd moment.

Is say this because you at first talk about parameter estimation and move to moments.

The variance is the second CENTRAL moment. The question I was asking was about central moments.

Central moment means moment around the mean.

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 Post subject: Re: statistical estimate momentsPosted: Tue, 17 Apr 2012 22:19:22 UTC
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royhaas wrote:
Try a search for "U-statistic", for example, the article at U-statistics gives a fairly decent explanation. "Neat" is in the eye of the beholder, but the short answer to your question is "yes".

Although the article appears to give the result for the second central moment, I didn't see anything about higher moments.

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 Post subject: Re: statistical estimate momentsPosted: Thu, 19 Apr 2012 22:17:35 UTC
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My conjecture is wrong. The fourth central moment estimate includes the square of the second central moment.

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 Post subject: Re: statistical estimate momentsPosted: Fri, 20 Apr 2012 09:09:07 UTC
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mathematic wrote:
My conjecture is wrong. The fourth central moment estimate includes the square of the second central moment.

Indeed, if is the r-th sample central moment and is the r-th (population) central moment, then

(assuming are independent identically distributed such that all relevant moments exist)

Here is a quick way to derive them (and all higher ones too): Let iid -random variables, . Then are identically distributed, and so taking expectation, you get . But is a sum of independent random variables, so its moment generating function is just the product of individual m.g.f.s:

where is the central moment generating function of : . So differentiate away (using (generalised) Leibnitz rule) and set t=0. Finally, use density to go from to .

Edit: correct signs.

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 Post subject: Re: statistical estimate momentsPosted: Sat, 21 Apr 2012 01:26:10 UTC
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outermeasure wrote:
mathematic wrote:
My conjecture is wrong. The fourth central moment estimate includes the square of the second central moment.

Indeed, if is the r-th sample central moment and is the r-th (population) central moment, then

(assuming are independent identically distributed such that all relevant moments exist)

Here is a quick way to derive them (and all higher ones too): Let iid -random variables, . Then are identically distributed, and so taking expectation, you get . But is a sum of independent random variables, so the moment generating function is just the product of individual m.g.f.s:

where is the central moment generating function of : . So differentiate away (using (generalised) Leibnitz rule) and set t=0. Finally, use density to go from to .

Thanks - this is what I was looking for in the first place.

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