A Bias-reduced Estimator for the Mean of a Heavy-tailed Distribution with an Infinite Second Moment

Details A Bias-reduced Estimator for the Mean of a Heavy-tailed Distribution with an Infinite Second Moment A Bias-reduced Estimator for the Mean of a Heavy-tailed Distribution with an Infinite Second Moment

2012-01-07

arxiv.org/abs/1201.1578v2

Statistics

Methodology

Submitted

Scientific paper

We use bias-reduced estimators of high quantiles, of heavy-tailed distributions, to introduce a new estimator of the mean in the case of infinite second moment. The asymptotic normality of the proposed estimator is established and checked, in a simulation study, by four of the most popular goodness-of-fit tests for different sample sizes. Moreover, we compare, in terms of bias and mean squared error, our estimator with Peng's estimator (Peng, 2001) and we evaluate the accuracy of some resulting confidence intervals.

Affiliated with

Also associated with

No associations

Rating

A Bias-reduced Estimator for the Mean of a Heavy-tailed Distribution with an Infinite Second Moment does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A Bias-reduced Estimator for the Mean of a Heavy-tailed Distribution with an Infinite Second Moment, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Bias-reduced Estimator for the Mean of a Heavy-tailed Distribution with an Infinite Second Moment will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-635554