Abstract
Examples of exact expressions for the moments (mainly of the mean) of functions of sample moments are given. These provide checks on alternative developments such as asymptotic series for n→∞, and simulation processes. Exact expressions are given for the mean of the square of the sample coefficient of variation, particularly in uniform sampling; Frullani integrals studied by G. H. Hardy arise. It should be kept in mind that exact results for (joint) moment generating functions (mgfs) are of interest as they produce a means of obtaining exact results for (cross) moments—including moments with negative indices. Thus an exact expression for the joint mgf of the 1st two noncentral moments can be used to obtain the mean of the (c.v.)2 (but not for the mean of the c.υ.). A general expression is given for the moment generating function of the sample variance. The limitations of Fisher's symbolic formula for the characteristic function of sample moments (or more general statistics) are noted.
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This research was sponsored by the Applied Mathematical Sciences Research program, Office of Energy Research, U. S. Department of Energy under contract DE-AC0584OR21400 with the Martin Marietta Energy Systems. Inc.
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Bowman, K.O., Shenton, L.R. Some exact expressions for the mean and higher moments of functions of sample moments. Ann Inst Stat Math 44, 781–798 (1992). https://doi.org/10.1007/BF00053406
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DOI: https://doi.org/10.1007/BF00053406