Some asymptotic results in the multivariate lognormal estimation theory

Abstract

An asymptotic expansion of the variance of the uniformly minimum variance unbiased estimator of a class of parameters of the multivariate lognormal distribution is considered. It is obtained by some calculations of the zonal polynomials. Then it is compared with an asymptotic mean square error of the maximum likelihood estimator of the same parameter.

Keywords:

• asymptotic expansion
• multivariate lognoml distribution
• uniformly minimum variance unbiased estimation
• zonal polynomials