THEORY AND METHODS WEIGHTED ESTIMATION OF THE LOCATION PARAMETER OF A SYMMETRIC STABLE DISTRIBUTION

被引：0

作者：

van Zyl, J. M. ^{[1
]}

Schall, Robert ^{[1
]}

机构：

[1] Univ Free State, Dept Math Stat & Actuarial Sci, Bloemfontein, South Africa

来源：

SOUTH AFRICAN STATISTICAL JOURNAL | 2010年 / 44卷 / 01期

关键词：

Location parameter; numerical integration; stable distribution; weighted estimation;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We propose a class of weighted estimators of the location parameter of a symmetric stable distribution, where the weights decrease exponentially as a function of the scaled absolute deviation of observations from the sample median. The proposed weighted mean outperforms both the unweighted sample mean and the median for stable symmetric distributions with stability index 1 < 2, and outperforms the optimal trimmed mean for the Cauchy distribution.

引用

页码：1 / 16

页数：16

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