The use of third-order moments in structural models.

Erik Meijer; Ab Mooijart

Qüestiió (1994)

  • Volume: 18, Issue: 1, page 75-84
  • ISSN: 0210-8054

Abstract

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Structural models are usually estimated using only second order moments (covariances or correlations). When variables are nor multivariate normally distributed, however, methods that also fit higher order moments, such as skewnesses, are theoretically asymptotically preferable. This article reports result from a Monte Carlo simulation study in which estimators that fit both second-order moments and third-order moments are compared with estimators that fit only second-order moments.

How to cite

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Meijer, Erik, and Mooijart, Ab. "The use of third-order moments in structural models.." Qüestiió 18.1 (1994): 75-84. <http://eudml.org/doc/40175>.

@article{Meijer1994,
abstract = {Structural models are usually estimated using only second order moments (covariances or correlations). When variables are nor multivariate normally distributed, however, methods that also fit higher order moments, such as skewnesses, are theoretically asymptotically preferable. This article reports result from a Monte Carlo simulation study in which estimators that fit both second-order moments and third-order moments are compared with estimators that fit only second-order moments.},
author = {Meijer, Erik, Mooijart, Ab},
journal = {Qüestiió},
keywords = {Análisis de datos; Análisis multivariante; Análisis de correlación; Análisis de covarianza; Modelos estadísticos; structural models; robustness; elliptical distribution-free; generalized least squares},
language = {eng},
number = {1},
pages = {75-84},
title = {The use of third-order moments in structural models.},
url = {http://eudml.org/doc/40175},
volume = {18},
year = {1994},
}

TY - JOUR
AU - Meijer, Erik
AU - Mooijart, Ab
TI - The use of third-order moments in structural models.
JO - Qüestiió
PY - 1994
VL - 18
IS - 1
SP - 75
EP - 84
AB - Structural models are usually estimated using only second order moments (covariances or correlations). When variables are nor multivariate normally distributed, however, methods that also fit higher order moments, such as skewnesses, are theoretically asymptotically preferable. This article reports result from a Monte Carlo simulation study in which estimators that fit both second-order moments and third-order moments are compared with estimators that fit only second-order moments.
LA - eng
KW - Análisis de datos; Análisis multivariante; Análisis de correlación; Análisis de covarianza; Modelos estadísticos; structural models; robustness; elliptical distribution-free; generalized least squares
UR - http://eudml.org/doc/40175
ER -

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