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

35 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

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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",

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AU - Peng, Liang

PY - 2001/4/15

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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

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

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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

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