On the Sample Coefficient of Nominal Variation

Abstract

Categorical dispersion is commonly measured in terms of the index of qualitative variation (Gini index), but a transformed version of it, the coefficient of nominal variation (CNV), is recommended as being better interpretable. We consider the sample version of the CNV and derive its asymptotic distribution both for independent and time series data. The finite-sample performance of this approximation is analyzed in a simulation study. The CNV is also applied to a real-data example.