Estimating the mean of a heavy tailed distribution

Peng, L

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Estimating the mean of a heavy tailed distribution

Date

2001

Authors

Peng, L

Publisher

Elsevier

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