Estimation in the Three-Parameter Lognormal Distribution

Author(s): A. Clifford Cohen and Betty Jones Whitten

Source: Journal of the American Statistical Association, Vol. 75, No. 370 (Jun., 1980), pp.
399-404
Published by: Taylor & Francis, Ltd. on behalf of the American Statistical Association
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 Estimation in the Three - Parameter
Lognormal Distribution
A. CLIFFORD COHEN and BETTY JONES WHITTEN*

This article is primarily concerned with modifications of local The mean, standard deviation, third standard mo-
maximum likelihood estimators and modifications of moment
estimators for parameters of the three-parameter lognormal dis-
ment, and fourth standard moment of this distribution
tribution. First, second, and third order statistics are employed to as functions Of jA, a2, and y were given by Yuan (1933) as
facilitate estimation of the distribution lower limit. Computational
procedures are developed to simplify the practical applicationof ,u = y + eA,
these estimators. Results of a simulation study provide insight into
the sampling behavior of the estimates. =rx e= co -1)1k (1.2)
KEY WORDS: Lognormal distribution; Parameter estimation; a3:x = (co + 2) (o-1),
Simulation; Modified maximum likelihood estimation; Modified
moment estimation. a4:x = CO 4 + 2wO3 + 3CO2 - 3
where
1. INTRODUCTION = exp (a2) * (1.3)

In this article we revisit an area that was originally

explored before the advent of modern computers (see
2. THE LIKELIHOOD FUNCTION
Cohen 1951). More specifically, we are concerned with The likelihood function for a random sample of size n
estimation in the three-parameter lognormal distribu- from a distribution with pdf (1.1) is
tion. Convergence difficulties were experienced in certain
applications of estimators given in the referenced paper L (xi, ... xXn; Yy, JL, a2) =(27r2)-n/2
and, for some samples, estimates did not exist. We shall n

reexamine the earlier estimators and present modifica-
tions that alleviate most of the computational problems
previously encountered. The investigation that led to the
current paper was prompted by discussions with Walter
T. Federer and Victor E. Kane f.ollowing a presentation
by Kane (1978) at the Southern Regional Education
Board (SREB) Summer Research Conference in
Statistics.
The lognormal distribution derives its name from the
relationship that exists between random variables X and
Y = ln (X - y). If Y is distributed normally (jA, a2),
then X is lognormal (e, ,, a2). Accordingly, the prob-
ability density function of X may be written as
f(X; - yA a')
= (27ra2)- 2(x-.y)-1 exp {-[ln (x-y)-s ]2/2a( }
a22>0 , C<X< o
=0, otherwise . (1.1)
Although a2 is the variance of Y, it becomes the shape
parameter of X.
exp {- [ [ln((x - y) - ]2/22}
1
n
H (xi - )- . (2.1)
Hill (1963) demonstrated the existence of paths along
which the likelihood function of any ordered sample, xi,
. . . x), tends to oo as (-y, ,u, a2) approach (x, - oo, oo).
This global maximum thereby leads to the inadmissible
estimates - = xi, Ai = - oo, and a2 = oo, regardless of
the sample. However, when we equate partial derivatives
of the log-likelihood to zero, as was done by Cohen
(1951), we obtain estimating equations whose simul-
taneous solution yields local maximum likelihood esti-
mates, (MLE's), which in most cases would be con-
sidered reasonable in comparison with corresponding
moment estimates. Harter and Moore (1966) noted that
these local MLE's appear to possess most of the desirable
properties ordinarily associated with MLE's. Exceptions
may occur in small samples for which the likelihood func-
tion fails to exhibit a clearly defined local maximum.

* A. Clifford Cohen is Emeritus Professor of Statistics, Department

of Statistics and Computer Science, The University of Georgia,
Athens, GA 30602. Betty Jones Whitten is Assistant Professor of
Management Science, College of Business Administration, The
University of Georgia, Athens, GA 30602. The authors are indebted
to the National Science Foundation (through Grant MCS 77-25677)
and to the General Research Division of The University of Georgia
for partial financial support. Thanks are extended to Walter T.
Federer, Victor E. Kane, the referees, and an associate editor for
3. LOCAL MAXIMUM LIKELIHOOD ESTIMATORS
On taking logarithms of (2.1), differentiating, and
equating to zero, we obtain the local maximum likeli-
? Journal of the American Statistical Association
June 1980, Volume 75, Number 370

helpful comments and discussions. Theory and Methods Section

399

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 400 Journal of the American Statistical Association, June 1980

hood estimating equations: function and F is the lognormal (ey, ,u, a2) distribution
function.
clnL 1 n
=-E [ln (xi - y) - Ii] = 0 Since E[F(Xr)] = r/(n + 1), it follows that (4.1) is
equivalent to
alnL n 1 n ln (xr-y) = M + akr, (4.3)
~=-+-E[In (xi_ - _y ]2 = (3.1)
cl a a a8 I where kr = c-'[r/(n + 1)]. Accordingly, the estimating
a ln L 1 n [ln (xi_,y) -] n equations for MMLE-1 consist of the first two equations
~~: -E +E (Xi-)= . of (3.1) plus (4.3). On eliminating ,u and a2 from these
&Y a2 1 (Xi-Y) 1
three equations, we have
When u2 and ,u are eliminated from these equations,
1 n
the resulting equation in y becomes Oi(y) =ln (Xr -Y)-- ln (xi-,Y)
nl
n n n

X (,Y) = EE (xi -,)-'IEE ln (x-)Eln2 (xi-e,)

1 1 1 -kr' IEn' (xi -,y) - -E ln (xi -,y) =0. (4.4)
.n ln l
n n l~~~n (X, _y)
Equation (4.4) can now be solved iteratively for the
+(1/n) E ln (xi-y))2]-n E ln (xi-)0 . (3.2)
1 1 (Xi-,Y) required estimate of y. Corresponding estimators of ,u
Equation (3.2) may be solved iteratively for the local
and u2 follow from (3.3), just as they do for the LMLE.
If multiple admissible roots of (4.4) are found, we
maximum likelihood estimate (LMLE), Y. It then follows
choose as our estimate that root which results in closest
from the first two equations of (3.1) that
agreement between -x and x, as was done in solving
n
equation (3.2).
A =(1/n) ln(x Y)
1 (3.3)
4.2 Concerning MMLE-II
n n

2=(l1/n) E n X--[( n ln (xi _A) ]2
1 1
Except for slight differences in notation, the results
given here originally appeared in the article by Cohen
(1951).
In solving (3.2) for 7, we accept only admissible roots
for which y < xi. Usually, only a single admissible root
will be found. In the event that multiple admissible roots
occur, we choose as our estimate that root which results
in the closest agreement between A., and x.
4. MODIFIED MAXIMUM LIKELIHOOD ESTIMATORS
Throughout this article our sample is assumed to be
ordered so that xi < x2 <... < x< . Two distinct modi-
fications are considered. In the first, which we designate
MMLE-I, the third equation of (3.1) is replaced by
E(F(Xr)) = F(x,T) , (4.1)
where E is the usual expectation symbol, XT is the rth
order statistic (r = 1, 2, or 3) in a random sample of
size n, and F(XT) is the associated value of the cumula-
tive distribution.
In the second modification, which we designate
MMLE-II, the third equation of (3.1) is replaced by
ln (xT - y) = ji + aE (Zr) , (4.2)
where E (Zr) denotes the expected value of the rth
order statistic of the standard normal variable in a
random sample of size n.
4.1 Concerning MMLE-I
The estimating equations in this case consist of the
first two equations of (3.1) plus (4.2). On eliminating ,u
and u2 from these equations, we obtain
1 n
02(Y) = ln (Xr -) -- ln (xi - y)
nl
E (Zr) 1-Eln2 (Xi- y)
nl
-[- In (xi -ey)] = 0 * (4.5)
Equation (4.5) differs from (4.4) only in the substitution
of E(Zr) for kr, and it can be solved iteratively for the
desired estimate of y, just as (4.4) was solved. Should
multiple admissible roots be found in solving (4.5), we
choose as our estimate that root which results in the
closest agreement between x and x, as was done in
solving (3.2) and (4.4). Again, the corresponding esti-
mates of ,u and u2 follow from (3.3). Values of E(Zr)
required here can be found in tables provided by Harter
(1961).
5. MOMENT ESTIMATION
Moment estimators as given by Yuan (1933) result
from equating the first three sample moments to cor-
responding population moments. We thereby obtain
x = y + eW\w
2= e2pW(w - 1), (5.1)
a3 = (. + 2)(w9 - 1)(

Let $, = [in (XT - ) -,u]/a; it follows that F (XT) where x, s2, and a3 are the sample mean, variance, and
= 1(h,T) where 1> is the standard normal distribution
third standard moment.

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 Cohen and Whitten: Estimation in the Lognormal Distribution 401

The third equation of (5.1) leads to the following cubic 6.2 Concerning MME-II
equation in c:
The estimating equations in this case differ from (6.1)
o3 + 3 W2 - (a32+ 4) = 0. (5.2) only in that kr is replaced by E(Zr). Accordingly, it
follows that
Descartes's "rule of signs" guarantees that this equa-
82 w>(w6-1).2)
tion has one positive real root and a pair of conjugate
imaginary roots. The positive real root is, of course. the -Xr)2 [co - exp {aE(Zr)}]2
required estimate, C*. The remaining moment estimates
The required values of E(Zr) can be found in the tables
follow as
provided by Harter (1961). Since a = (ln (0)', (6.2) can
a2*= ln *
be solved for ***, and, as in the previous case, estimates
u*= ln (s[w*(o* - 1)]-1) (5.3) a2*** A*, , and y*** follow from (5.3), with co* replaced
y* x-(* - 1)2 . this time by ***. Multiple admissible roots (co > 0)
have not been encountered in the solution of either
The moment estimate y* as calculated here may serve (6.1) or (6.2).
as a first approximation in the iterative solutions of
(3.2), (4.4), and (4.5) subject to the restriction that 7. ESTIMATE VARIANCES AND COVARIANCES
-Y < x1.
Asymptotic variances and covariances of the estimates
Although the lognormal distribution is positively
skewed, it is possible for the third standard moment a3 y, ,u and a were obtained by inverting the Fisher in-
formation matrix. If we let
of some samples to be negative. This outcome is most
likely to occur when the corresponding population mo- A = [ (1 +u2)-(1+2u2) ]-1 and C=fA/\/@, (7.1)
ment, a3, is small and/or when the sample size is small.
we can write
Moreover, as a3 approaches zero, the moment estimates
co*, a*, ,u*, and y* approach 1, 0, oo, and - oo, respec- VQy) = (u2/n)AC2, V(,u) = (u2/n)(1 + A)
tively, provided s > 0. Accordingly, when a3 < 0, ad-
V(a) - (a2/n) (1 + 2a A)
missible moment estimates fail to exist. In most in-
vestigations, finding a negatively skewed sample would covQy, ,u) = - (u2/n)AC , (7.2)
suggest that the distribution involved is of a type other cov A, a) = (a3/n)AC
than lognormal. It is possible, however, that LMLE or cov(,u, ) = - (a3/n)A
some of the modified estimators might exist even if
Corresponding results for estimates -y, ~, and a, where
a3 < 0.
,B= exp (,u), were given by Cohen (1951).
From a strictly theoretic point of view, the applica-
6. MODIFIED MOMENT ESTIMATION
bility of,the variances and covariances of (7.2) might
The moment estimators are modified in essentially be questioned. As noted in Section 11, however, variances
the same manner that the maximum likelihood esti- calculated using these results are in reasonably close
mators were modified. In MME-I, the third equation of agreement with corresponding Monte Carlo variances
(5.1) is replaced by (4.1), which was shown to be equiva- provided the skewness is not too small. Since the log-
lent to (4.3). In MME-II, the third equation of (5.1) is normal distribution is seldom employed as a model unless
replaced by (4.2). skewness is large, this limitation would not be a serious
hindrance.
6.1 Concerning MME-I
8. COMPUTATIONAL PROCEDURES
With (4.3) written in exponential form, the third
As previously noted, estimating equations (3.2), (4.4),
estimating equation is, xr = y + exp (IA + akr)
(4.5), (6.1), and (6.2) may be solved by using standard
Eliminating ,u and y gives iterative procedures. When only desk or hand-held cal-
82
culators are available, simple trial-and-error techniques
(6.1) coupled with linear interpolation will usually be adequate.
x-Xr)2 [,' -exp (ak1r)]2 Computations of the estimates presented here were
where a = (ln co)). This result was previously given by performed on a Cyber 70/74 computer at the University
Helm (1970) for the special case r = 1.
We can solve (6.1) for w** by using various standard 1. Random Sample From a Lognormal Population
iterative procedures. For most purposes, a simple trial-
148.290 144.328 174.800 168.554
and-error procedure coupled with linear interpolation 184.101 166.475 131.375 145.788
will suffice. Once c&* has been determined, corresponding 135.880 137.338 164.304 155.369
127.211 132.971 128.709 201.415
estimates a2**, ,uL**, and e* follow from (5.3), with co
133.143 155.680 1 53.070 157.238
replaced by **

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402 Journal of the American Statistical Association, June 1980

2. Summary of Estimates

Estimator y a a Ax ax 013:x Me:x Mo:x

LMLE 117.7206 3.3732 .6043 152.7353 23.2471 2.2844 146.8915 137.9670

MMLE 11a 107.0445 3.7211 .4297 152.3519 20.4039 1.4424 148.3560 141.3903
MMLE 12 19.1641 4.8812 .1412 152.2738 18.8876 .4285 150.9537 148.3525
MMLE 13 126.4777 2.8077 1.1418 158.2828 52.0992 9.3097 143.0498 130.9769
MMLE IiI 118.0314 3.3602 .6122 152.7622 23.4184 2.3294 146.8275 137.8272
MMLE 112 86.8243 4.1397 .2876 152.2594 19.2133 .9062 149.6089 144.6256
MMLE 113 125.9937 2.8694 1.0491 156.5543 43.2821 7.0896 143.6207 131.8580
ME 70.7067 4.3727 .2410 152.3020 19.9537 .7483 149.9664 145.4940
MME 11 105.1667 3.7706 .4060 152.3020 19.9537 1.3458 148.5728 141.9763
MME 12 75.9154 4.3028 .2569 152.3020 19.9537 .8015 149.8220 145.1011
MME13 -.7037 5.0220 .1299 152.3020 19.9537 .3935 151.0172 148.4800
MME IiI 112.5581 3.5701 .4741 152.3020 19.9537 1.6327 148.0768 140.9263
MME 112 96.0955 3.9697 .3445 152.3020 19.9537 1.1098 149.0632 143.1348
MME 113 82.2976 4.2095 .2795 152.3020 19.9537 .8783 149.6205 144.5619
Population 100.0000 3.9120 .4000 154.1644 22.5620 1.3219 150.0000 142.6072

a Subscripts denote values of r.

NOTE: In comparing these estimateswith thosegiven byCohen (1951), notational differences must be reconciled. Here;-yand o-are used todenotethethreshold and theshape par
whereas in the earlier article, a and y were used. The scale parameter,B in the earlier article is replaced by 1A in this article where 1A = In,B.

of Georgia Computer Center. The computer program is
written in FORTRAN and consists of a main program
plus three subroutines. (Copies of the program may be
obtained from the authors.) The main program is a
calling program, which calculates x, s, and a3 in addition
to sorting out the first three order statistics of the
sample. The three subroutines calculate the following
estimates:
1. Local maximum likelihood estimates (LMLE),
2. Modified maximum likelihood estimates (MMLE),
3. Moment estimates and modified moment estimates
(MOMENT).
Both LMLE and MMLE are designed to solve ap-
plicable estimating equations iteratively for admissible
(-y < xi) estimates of -y that result in closest agreement
requires that sample values of the third standard mo-
between -A., and x. Estimates are required to be not mentless
lie in the interval .13 to 14.0. Corresponding
than the mean minus 100 standard deviations and not
greater than xl - 10-8. These restrictions, of course,
result in failure to complete the calculations for an
occasional sample. An appropriate warning message is
printed for each rejected sample. Once an "acceptable"
estimate of -y is calculated, corresponding estimates of
,u and a are then computed.
In the MOMENT subroutine, the user has the option
of calculating estimates of the three parameters by the
method of moments (ME) or by the methods of modified
moments (MME-I) and MME-II). For the method of
moments, the Newton-Raphson iterative procedure is
employed to find the positive root of (5.2). A dichotomous
search technique is employed to solve (6.1) for MME-I
estimates and to solve (6.2) for MME-II estimates. In
both of these cases the estimate for w is then substituted
into (5.3) to obtain estimates of -y, ,u, and a. As previously
noted, moment estimates do not exist when a3 < 0. To
avoid problems that this limitation raises, a restriction
has been incorporated into the computing routine, which
limitations on w are from 1.002 to 5.0. A further restric-
tion limits MOMENT estimates of -y to the interval
(- 100s) to (xl - 10-8) as was done in computing
LMLE and MMLE. When these restrictions are vio-
lated, the sample is rejected and an appropriate message

3. Mean Values of Parameter Estimates

?s = 1.01 (a3 = .301) Z = 1.1 (a3 = .980) X = 1.25 (a3 = 1.625) X = 1.5 (a3 = 2.475)

No. No. No. No.

Estimator /' y Runs /' y Runs /' o Runs /A Z Runs

ME -10.4035 2.1961 .1236 100 -4.2164 1.3057 .2695 100 -2.5891 .8065 .3985 100 -1.8672 .4390 .5128 100
MME-1, -16.6358 2.3202 .1254 79 -4.5080 1.3319 .2656 99 -2.2681 .6911 .4284 100 -1.5107 .2142 .5899 100
MME-1I -13.3059 2.2909 .1231 76 -4.3625 1.2980 .2708 100 -2.2286 .6783 .4322 100 -1.5101 .2129 .5907 100
MME-13 -12.0709 2.1774 .1336 78 -4.1943 1.2933 .2702 99 -2.2545 .6860 .4306 100 -1.5202 .2187 .5888 100
MME-11, -10.0143 1.9097 .1673 87 -3.4559 1.1286 .3073 99 -2.0757 .5975 4583 100 -1.4448 .1582 .6110 100
MME-11I -10.3272 2.0930 .1427 91 -3.5473 1.1552 .3001 100 -2.0989 .6131 .4531 100 -1.4626 .1730 .6057 100
MME-113 -10.2429 2.0141 .1538 86 -4.3792 1.2062 .2939 100 -2.1395 .6300 .4484 100 -1.4792 .1848 .6014 100
LMLE -9.0561 2.0829 .1339 100 -3.4727 1.1402 .3040 100 -2.0537 .5864 .4666 100 -1.4207 .1300 .6343 100
MMLE-1, -13.3635 2.2110 .1357 73 -5.1453 1.3929 .2599 99 -2.3587 .7196 .4194 100 -1.5257 .2219 .5854 100
MMLE-12 -3.0550 .5830 1.1256 91 -1.8911 .3393 1.2195 84 -1.5955 .1454 1.3505 29 -1.5255 .2373 .6239 6
MMLE-13 -2.1482 .5451 .9734 92 -1.7553 .2842 1.1161 78 -1.4515 .0290 1.3182 38 -1.2352 -.1906 1.3552 1
MMLE-11, -7.3095 1h8018 .1866 84 -3.5582 1.1223 .3225 99 -2.0712 .5787 .4777 100 -1.4266 .1285 .6399 100
MMLE-112 -2.3420 .5632 1.1054 90 -1.8540 .3295 1.2033 75 -1.6408 .2059 1.2452 18 -1.4575 .1457 .6012 4
MMLE-113 -2.1488 .5484 .9567 88 -1.7543 .2855 1.1173 69 -1.4767 .0478 1.2878 24 - - - 0

Population
Values -10.000 2.2976 .0998 -3.1623 1.1036 0.3087 -2.0 .5816 .4724 -1.4142 .1438 .6368

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Cohen and Whittenw: Estimation in the Lognormal Distribution 403

is printed for the user. Since the lognormal distribution
would not ordinarily be employed unless the random
variable of interest promises to exhibit a large positive
skewness, the restrictions imposed in the computing
routine are unlikely to result in rejection of many
samples. When rejection does occur, it should be inter-
preted as a suggestion to consider distributions other than
the lognormal.
The mean, standard deviation, and third standard
moment of this sample are 152.30, 19.95 and .75. The
first three-order statistics are xl = 127.211, x2 = 128.709,
and x3 = 131.375. A summary of results obtained when
all three parameters are estimated from this sample is
given in Table 2.
11. RESULTS OF A MONTE CARLO STUDY

9. ON MULTIPLE ESTIMATES OF Y A Monte Carlo study was undertaken in order to com-

Multiple estimates of y are most likely to be en-
countered when sample sizes are small and/or when the
population skewness is small. Furthermore, they seem
to occur more often when estimates are based on the
second and third order statistics than when they are
based on the first order statistic. Multiple estimates have
not presented any major problems in most practical
applications that we have encountered thus far. In a
typical sample for which the estimating equation has
multiple roots, all but a single largest root are usually so
much less than the smallest sample observation as to be
incompatible with the observed sample moments, whereas
an isolated largest root may result in reasonable esti-
mates for all population parameters. Occasionally, a root
will occur that is so close in value to the smallest sample
observation as to yield excessively large and thus un-
acceptable estimates for A,, and a. In view of these con- by using each of the 14 estimators in turn.
parameters
siderations, it is recommended that, when a choice must
be made among multiple roots of the estimating equation,
the admissible root that results in closest agreement
between , and x should be chosen.
10. AN ILLUSTRATIVE EXAMPLE
To illustrate the practical application of results ob-
tained here, we have chosen a sample that was previously
employed by Cohen (1951), consisting of 20 random
observations from a population in which -y = 100,
A = ln 50, and a = .4. The sample data are listed in
Table 1.
pare the 14 estimators listed in Table 2. Four standardized
lognormal distributions whose frequency curves range
from only slightly skewed to highly skewed were chosen
for the study. Values of the shape parameter, w, where
- = ea2 were 1.01, 1.1, 1.25, and 1.5, respectively. Thus
corresponding values of a3 were approximately .301, .980,
1.625, and 2.475. With yx and ax equal to 0 and 1,
respectively, in (1.2), population values of ,s and a
were calculated for each distribution. One hundred posi-
tively skewed samples of 100 observations each were
generated from each of these populations. Calculations
were performed on a Cyber 70/74 by taking logarithms
of normally distributed random numbers generated by
using the procedure of Box and Muller (1958). The
pseudorandom number generator RANF, specifically
designed for this 60-bit word computer, was employed.
For each sample, an attempt was made to estimate the
The means of the observed distributions of estimates for
successful runs, together with a count of the number of
successful runs, are given in Table 3. Corresponding
standard deviations are given in Table 4.
Note that the number of samples used in calculating
means and standard deviations varies according to esti-
mator types and the coefficient of skewness. The number
of omitted samples for modified moment estimates in-
creases as a3 decreases, while for modified maximum
likelihood estimates the number increases as a3 increases.
Regardless of degree of skewness, the means and standard
deviations of estimates using moment and local maxi-

4. Standard Deviations of Parameter Estimates

= 1.01 (a3 = .301) @ = 1.1 (a3 = .980) @ = 1.25 (a3 = 1.625) w = 1.5 (a3 = 2.475)

No. No. No. No.

Estimator y 4 r Runs y A u Runs y c C Runs y i x Runs

ME 5.7233 .5248 .0606 100 2.0309 .4289 .1018 100 .8802 .3647 .1283 100 .4865 .3331 .1469 100
MME-1, 22.0765 .8739 .0748 79 3.1165 .4788 .0938 99 .5895 .2416 .0883 100 .1748 .1693 .0947 100
MME-12 12.2419 .7277 .0753 76 3.7072 .4480 .0893 100 .4404 .2208 .0887 100 .1714 .1748 .1001 100
MME-13 14.2368 .6984 .0745 78 2.2906 .4300 .0973 99 .4908 .2468 .0989 100 .1883 .1938 .1067 100
MME-11, 16.4630 .6843 .0757 87 1.2809 .3439 .0859 99 .3957 .2075 .0826 100 .1429 .1567 .0901 100
MME-112 8.4589 .6493 .0778 91 1.4451 .3402 .0839 100 .3522 .2000 .0847 100 .1486 .1651 .0968 100
MME-113 11.4608 .6840 .0775 86 7.7275 .4796 .0961 100 .4080 .2276 .0951 100 .1689 .1851 .1057 100
LMLE 4.5228 .4662 .0576 100 1.3543 .3171 .0818 100 .3370 .1956 .0857 100 .1294 .1539 .0896 100
MMLE-1, 16.2133 .7828 .0837 73 4.7607 .5846 .1137 99 .7594 .2986 .1087 100 .2175 .1991 .1051 100
MMLE-12 8.3872 .4512 .3855 91 .5450 .2843 .4650 84 .3048 .2710 .5654 29 .1732 .1423 .1791 6
MMLE-13 .2865 .1888 .3431 92 .1797 .1736 .3502 78 .1113 .1446 .3919 38 - - - 1
MMLE-II, 4.6379 .5745 .0950 84 1.6727 .4262 .1175 99 .4830 .2582 .1118 100 .1696 .1850 .1076 100
MMLE-112 1.7744 .3129 .3859 90 .4155 .2465 .4385 75 .2752 .2653 .5755 18 .0610 .1027 .0516 4
MMLE-113 .2967 .1893 .3338 88 .1729 .1599 .3336 69 .0996 .1239 .3538 24 - - - 0

Asymp. Std. Dev.a 8.086 .817 .082 .744 .261 .083 .263 .171 .084 .110 .133 .087

a Calculated by using (7.2).

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404 Journal of the American Statistical Association, June 1980
mum likelihood estimators are based on the entire set of
samples.
The LMLE, the ME, and their various modifications
involving the first order statistic compare favorably with
each other with respect to bias and estimate variances.
In general, unless a3 iS quite small the observed vari-
ances do not differ greatly from expected (asymptotic)
variances calculated by using the Fisher information
matrix. Estimators based on the second and third order
statistics do not perform quite as well as those based on
the first order statistic. Admittedly, observed variances
in certain instances are less than those for corresponding
estimators that use first order statistics. However, these
low observed values may simply be a consequence of the
omission of samples that failed to yield estimates. Since
the first order statistic contains more information about
y than any of the other order statistics (often more than
all the others), and since better estimates of -y usually
lead to better estimates of the other parameters, it is
not surprising that estimators based on this statistic
performed better than those based on higher order
statistics. However, when outliers are present or are
suspected of being present, as could happen when data
are contaminated, it might be desirable to employ esti-
mators based on order statistics of an order higher than
the first, provided the sample size is not too small.
When skewness is small (a3 < 1), the moment esti-
mators and modifications thereof exhibit lower bias and
smaller estimate variances than corresponding LMLE
and its modifications; but for larger values of a3, the
LMLE and its modifications seem to perform better.
Furthermore, estimators that use the expected value of
the chosen order statistic appear to perform better than
those that employ the expected value of the cumulative
distribution function evaluated for that order statistic.
12. RECOMMENDATIONS AND CONCLUDING
REMARKS
On the basis of findings presented here, it is recom-
mended that MME-II1 be employed when a3 < 1.
Alternately, MME-1 or ME might be employed in this
case.
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When a3 > 1, it is recommended that MLE-II1 be
employed. Alternately, MLE-1 or LMLE might be
used.
Although it is not fully reported here, the Fisher infor-
mation matrix also provides useful approximations to the
estimate variances and covariances except when a3 is
too small.
While this article was being refereed, results of a
related study by Kane (1979) became available. In that
investigation, a class of weighted order statistic estima-
tors for the three-parameter lognormal distribution was
compared with various other estimators, including some
of those considered here. In general, Kane's findings
appear to be consistent with those reported here.
[Received November 1978. Revised November 1979.]
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