For the normal distribution μ2k = σ2k (2k)! / (k! 2k) and μ2k+1 = 0, k = 0, 1, . . . . Use this result to analyze the two estimators where mk = 1/n Σni=1 (xi – x)k. The following result will be useful. Asy Cov [√nmj, √nmk] = μj + k – μjμk + jkμ2μj−1 μk−1 − jμj−1μk+1 − kμk−1μj+1. Use the delta method to obtain the asymptotic variances and covariance of these two functions assuming the data are drawn from a normal distribution with mean μ and variance σ2. Under the assumptions, the sample mean is a consistent estimator ofμ, so for purposes of deriving asymptotic results, the difference between x and μ may be ignored. As such, no generality is lost by assuming the mean is zero, and proceeding from there. Obtain V, the 3 × 3 covariance matrix for the three moments, then use the delta method to show that the covariance matrix for the two estimators is where J is the 2 x 3 matrix of derivatives.br>
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