The skewness of a random variable is skew 3 3 where 3 is the third central
Question:
The skewness of a random variable is skew Æ
¹3
¾3 where ¹3 is the third central moment.
(a) Propose a plug-in moment estimatorskew for skew.
(b) Find the variance of the asymptotic distribution of p n ³
skew¡skew ´
.
(c) Propose an estimator of the asymptotic variance ofskew.
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