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Estimating the mean of a heavy tailed distribution

Peng, L

Description

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

CollectionsANU Research Publications
Date published: 2001
Type: Journal article
URI: http://hdl.handle.net/1885/69613
Source: Statistics and Probability Letters
DOI: 10.1016/S0167-7152(00)00203-0

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