An asymptotically efficient closed form estimator for the three - parameter lognormal distribution

Abstract

The asymptotic distribution theory of the closed form estimator proposed by Munro and Wixley (1970) for the three-parameter lognormal distribution is developed. This estimator is shown to be consistent and asymptotically normally distributed with co-variance matrix equal to the inverse of the information matrix. Methods of adjusting the estimator for type II censored data sets are also presented, and small sample properties of the estimator are briefly explored.