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Robust Cumulant Estimation

  • D. Mämpel
  • A. K. Nandi
Chapter

Abstract

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.

Keywords

Tail Length Arithmetic Mean Truncation Parameter Little Trim Square Generalise Gaussian Distribution 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media Dordrecht 1999

Authors and Affiliations

  • D. Mämpel
  • A. K. Nandi

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