The Annals of Mathematical Statistics

Some Flexible Estimates of Location

Louis A. Jaeckel

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Abstract

This paper considers two procedures for estimating the center of a symmetric distribution, which use the observations themselves to choose the form of the estimator. Both procedures begin with a family of possible estimators. We use the observations to estimate the asymptotic variance of each member of the family of estimators. We then choose the estimator in the family with smallest estimated asymptotic variance and use the value given by that estimator as the location estimate. These procedures are shown to be asymptotically as good as knowing beforehand which estimator in the family is best for the given distribution, and using that estimator.

Article information

Source
Ann. Math. Statist., Volume 42, Number 5 (1971), 1540-1552.

Dates
First available in Project Euclid: 27 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177693152

Digital Object Identifier
doi:10.1214/aoms/1177693152

Mathematical Reviews number (MathSciNet)
MR350951

Zentralblatt MATH identifier
0232.62008

JSTOR
links.jstor.org

Citation

Jaeckel, Louis A. Some Flexible Estimates of Location. Ann. Math. Statist. 42 (1971), no. 5, 1540--1552. doi:10.1214/aoms/1177693152. https://projecteuclid.org/euclid.aoms/1177693152


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