2018/06/06 by Afendras, Georgios, Papadatos, Nickos, Piperigou, Violetta
#FOS: Mathematics #Statistics Theory (math.ST)
paper · doi:10.48550/arxiv.1806.02314
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 singular, and we show in this article that the singular distributions contain at most three supporting points. Moreover, using the 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.