An L-Moment-Based Analog for the Schmeiser-Deutsch Class of Distributions

Abstract EN

This paper characterizes the conventional moment-based Schmeiser-Deutsch (S-D) class of distributions through the method of L-moments.

The system can be used in a variety of settings such as simulation or modeling various processes.

A procedure is also described for simulating S-D distributions with specified L-moments and L-correlations.

The Monte Carlo results presented in this study indicate that the estimates of L-skew, L-kurtosis, and L-correlation associated with the S-D class of distributions are substantially superior to their corresponding conventional product-moment estimators in terms of relative bias—most notably when sample sizes are small.