Nonlinear Lp-norm estimation: Part II: The asymptotic distribution gf the exponent, p, as a function of the sample kurtosis.

In this paper it will be shown that the exponent p in Lp,-norm P estimation as an explicit function of the sample kurtosis is asymptotically normally distributed. The asymptotic variances of p for two sllch formulae are derived. An alternative formula which implicitly relates p to the sample kurtosis is also discussed. An adaptive procedure for the selection of p when the underlying error distribution is unknown is also suggested. This procedure is used to verify empirically that the asymptotic distribution of p is normal.