momSE: Standard Errors of Sample Moments In DistributionUtils: Distribution Utilities

Description

Calculates the approximate standard error of the sample variance, sample central third moment and sample central fourth moment.

Usage

 `1` ```momSE(order = 4, n, mom) ```

Arguments

 `order` Integer: either 2, 3, or 4. `n` Integer: the sample size. `mom` Numeric: The central moments of order 1 to 2n of the distribution being sampled from.

Details

Implements the approximate standard error given in Kendall and Stuart (1969), p.243.

Value

The approximate standard error of the sample moment specified.

Author(s)

David Scott [email protected]

References

Kendall, M. G. and Stuart, A. (1969). The Advanced Theory of Statistics, Volume 1, 3rd Edition. London: Charles Griffin & Company.

`momChangeAbout`

Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16``` ```### Moments of the normal distribution, mean 1, variance 4 mu <- 1 sigma <- 2 mom <- c(0,sigma^2,0,3*sigma^4,0,15*sigma^6,0,105*sigma^8) ### standard error of sample variance momSE(2, 100, mom[1:4]) ### should be sqrt(2*sigma^4)/10 ### standard error of sample central third moment momSE(3, 100, mom[1:6]) ### should be sqrt(6*sigma^6)/10 ### standard error of sample central fourth moment momSE(4, 100, mom) ### should be sqrt(96*sigma^8)/10 ```

Example output

```Loading required package: RUnit
[1] 0.5656854
[1] 0.5656854
[1] 1.959592
[1] 1.959592
[1] 15.67673
[1] 15.67673
```

DistributionUtils documentation built on May 31, 2017, 4:18 a.m.