Estimating the mean of a heavy tailed distribution

Liang Peng

doi:10.1016/S0167-7152(00)00203-0

Estimating the mean of a heavy tailed distribution

Liang Peng^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

33 Citations (Scopus)

Abstract

For the estimation of the mean of a heavy tailed distribution with tail index -α<-1, the asymptotic distribution of the sample mean is not normal as α<2. In this paper we propose an alternative estimator whose limiting distribution, under a second order condition, is normal for any α〉1.

Original language	English
Pages (from-to)	255-264
Number of pages	10
Journal	Statistics and Probability Letters
Volume	52
Issue number	3
DOIs	https://doi.org/10.1016/S0167-7152(00)00203-0
Publication status	Published - 15 Apr 2001

Access to Document

10.1016/S0167-7152(00)00203-0

Cite this

@article{207a40a830ee4fd8a43c563948b4e16e,

title = "Estimating the mean of a heavy tailed distribution",

abstract = "For the estimation of the mean of a heavy tailed distribution with tail index -α<-1, the asymptotic distribution of the sample mean is not normal as α<2. In this paper we propose an alternative estimator whose limiting distribution, under a second order condition, is normal for any α〉1.",

keywords = "Heavy tails, Normal distribution, Stable law, Trimmed mean",

author = "Liang Peng",

year = "2001",

month = apr,

day = "15",

doi = "10.1016/S0167-7152(00)00203-0",

language = "English",

volume = "52",

pages = "255--264",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier B.V.",

number = "3",

}

TY - JOUR

T1 - Estimating the mean of a heavy tailed distribution

AU - Peng, Liang

PY - 2001/4/15

Y1 - 2001/4/15

N2 - For the estimation of the mean of a heavy tailed distribution with tail index -α<-1, the asymptotic distribution of the sample mean is not normal as α<2. In this paper we propose an alternative estimator whose limiting distribution, under a second order condition, is normal for any α〉1.

AB - For the estimation of the mean of a heavy tailed distribution with tail index -α<-1, the asymptotic distribution of the sample mean is not normal as α<2. In this paper we propose an alternative estimator whose limiting distribution, under a second order condition, is normal for any α〉1.

KW - Heavy tails

KW - Normal distribution

KW - Stable law

KW - Trimmed mean

UR - http://www.scopus.com/inward/record.url?scp=0041364621&partnerID=8YFLogxK

U2 - 10.1016/S0167-7152(00)00203-0

DO - 10.1016/S0167-7152(00)00203-0

M3 - Article

SN - 0167-7152

VL - 52

SP - 255

EP - 264

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 3

ER -

Estimating the mean of a heavy tailed distribution

Abstract

Access to Document

Other files and links

Fingerprint

Cite this