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

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.

See Also

momChangeAbout

Examples

### 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.