Tail-Behavior of Location Estimators
Jureckova, Jana
Ann. Statist., Tome 9 (1981) no. 1, p. 578-585 / Harvested from Project Euclid
Let $X_1, \cdots, X_n$ be a sample from a population with density $f(x - \theta)$ such that $f$ is symmetric and positive. It is proved that the tails of the distribution of a translation-invariant estimator of $\theta$ tend to 0 at most $n$ times faster than the tails of the basic distribution. The sample mean is shown to be good in this sense for exponentially-tailed distributions while it becomes poor if there is contamination by a heavy-tailed distribution. The rates of convergence of the tails of robust estimators are shown to be bounded away from the lower as well as from the upper bound.
Publié le : 1981-05-14
Classification:  Tails of the distribution,  sample mean,  $L$-estimator,  trimmed mean,  $M$-estimator,  median,  Hodges-Lehmann's estimator,  62F10,  62G05,  62G35
@article{1176345461,
     author = {Jureckova, Jana},
     title = {Tail-Behavior of Location Estimators},
     journal = {Ann. Statist.},
     volume = {9},
     number = {1},
     year = {1981},
     pages = { 578-585},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176345461}
}
Jureckova, Jana. Tail-Behavior of Location Estimators. Ann. Statist., Tome 9 (1981) no. 1, pp.  578-585. http://gdmltest.u-ga.fr/item/1176345461/