Some results on the estimation of high-order moments of a real random variable are presented. For a given order, the estimator considered is the corresponding moment of the samples, and we study the relative variance of this estimator. General results on the sequence of relative variances indexed by the order are established. Finally, some examples and counterexamples are presented.
['Christophe Bourin', 'Pascal Bondon']
Efficiency of high-order moment estimates