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arXiv · 1806.02314

On the limiting distribution of sample central moments

Georgios Afendras·Nickos Papadatos·Violetta Piperigou
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Abstract

We investigate the limiting behavior of sample central moments, examining the special cases where the limiting (as the sample size tends to infinity) distribution is degenerate. Parent (non-degenerate) distributions with this property are called \emph{singular}, and we show in this article that the singular distributions contain at most three supporting points. Moreover, using the \emph{delta}-method, we show that the (second order) limiting distribution of sample central moments from a singular distribution is either a multiple, or a difference of two multiples of independent chi-square random variables with one degree of freedom. Finally, we present a new characterization of normality through the asymptotic independence of the sample mean and all sample central moments.

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Georgios Afendras, Nickos Papadatos, Violetta Piperigou. 2018-06-06. On the limiting distribution of sample central moments. https://arxiv.org/abs/1806.02314

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