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Large sample properties of Jaeckel's adaptive trimmed mean

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Summary

A critical examination of Jaeckel's (1971,Ann. Math. Statist.,42, 1540–1552) study of his adaptive trimmed mean reveals that the theory is not applicable in many important cases, such as when the optimal trimming proportion is close to 0 or 1/2. This region includes the normal and double exponential distributions, among others, which have received considerable attention in the study of other adaptive location estimates. In this paper we obtain results which justify the use of Jaeckel's trimmed mean for a very large class of distributions. By restricting this class we obtain weak and strong rates of convergence which are much faster than those given by Jaeckel.

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  1. Australian National University, Australia

    Peter Hall

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  1. Peter Hall
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Hall, P. Large sample properties of Jaeckel's adaptive trimmed mean. Ann Inst Stat Math 33, 449–462 (1981). https://doi.org/10.1007/BF02480955

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  • DOI: https://doi.org/10.1007/BF02480955

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