mathematic wrote:
My conjecture is wrong. The fourth central moment estimate includes the square of the second central moment.
Indeed, if
is the r-th sample central moment and
is the r-th (population) central moment, then
(assuming
are independent identically distributed such that all relevant moments exist)
Here is a quick way to derive them (and all higher ones too): Let
iid
-random variables,
. Then
are identically distributed, and so taking expectation, you get
. But
is a sum of independent random variables, so its moment generating function is just the product of individual m.g.f.s:
where
is the central moment generating function of
:
. So differentiate away (using (generalised) Leibnitz rule) and set t=0. Finally, use density to go from
to
.
Edit: correct signs.