The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 5, Number 3 (1995), 854-873.
Precision Calculation of Distributions for Trimmed Sums
Recursive methods are described for computing the frequency and distribution functions of trimmed sums of independent and identically distributed nonnegative integer-valued random variables. Surprisingly, for fixed arguments, these can be evaluated with just a finite number of arithmetic operations (and whatever else it takes to evaluate the common frequency function of the original summands). These methods give rise to very accurate computational algorithms that permit a delicate numerical investigation, herein described, of Feller's weak law of large numbers and its trimmed version for repeated St. Petersburg games. The performance of Stigler's theorem for the asymptotic distribution of trimmed sums is also investigated on the same example.
Ann. Appl. Probab., Volume 5, Number 3 (1995), 854-873.
First available in Project Euclid: 19 April 2007
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Csorgo, Sandor; Simons, Gordon. Precision Calculation of Distributions for Trimmed Sums. Ann. Appl. Probab. 5 (1995), no. 3, 854--873. doi:10.1214/aoap/1177004708. https://projecteuclid.org/euclid.aoap/1177004708