Robust Cumulant Estimation

  • D. Mämpel
  • A. K. Nandi


One of the problems in the application of higher-order statistics (HOS) is that of the estimation of cumulants. The higher the order the larger tends to be the variance in the estimated cumulants and this problem is also enhanced by the limited number of samples used in applications. Naturally, the accuracy of the methods based on higher—order statistics depend on, among other things, the consistency of the estimates of the cumulants. Some aspects of HOS estimators [2, 15] are not followed up here.


Tail Length Arithmetic Mean Truncation Parameter Little Trim Square Generalise Gaussian Distribution 
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© Springer Science+Business Media Dordrecht 1999

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  • D. Mämpel
  • A. K. Nandi

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