Some Distributions of Sample Means
Brown, George W. ; Tukey, John W.
Ann. Math. Statist., Tome 17 (1946) no. 4, p. 1-12 / Harvested from Project Euclid
It is shown that certain monomials in normally distributed quantities have stable distributions with index $2^{-k}$. This provides, for $k > 1$, simple examples where the mean of a sample has a distribution equivalent to that of a fixed, arbitrarily large multiple of a single observation. These examples include distributions symmetrical about zero, and positive distributions. Using these examples, it is shown that any distribution with a very long tail (of average order $\geq x^{-3/2}$) has the distributions of its sample means grow flatter and flatter as the sample size increases. Thus the sample mean provides less information than a single value. Stronger results are proved for still longer tails.
Publié le : 1946-03-14
Classification: 
@article{1177731017,
     author = {Brown, George W. and Tukey, John W.},
     title = {Some Distributions of Sample Means},
     journal = {Ann. Math. Statist.},
     volume = {17},
     number = {4},
     year = {1946},
     pages = { 1-12},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177731017}
}
Brown, George W.; Tukey, John W. Some Distributions of Sample Means. Ann. Math. Statist., Tome 17 (1946) no. 4, pp.  1-12. http://gdmltest.u-ga.fr/item/1177731017/