STATISTICAL PROPERTIES OF WINSORIZED MEANS FOR SKEWED DISTRIBUTIONS
STATISTICAL PROPERTIES OF WINSORIZED MEANS FOR SKEWED DISTRIBUTIONS
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DOI：
10.2307/2336967
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发表时间：
1994-06-01
期刊：
影响因子：
2.7
通讯作者：
RIVEST, LP
中科院分区：
文献类型：
--
作者：
RIVEST, LP
研究了样本中最大或两个最大观测值Winsorize的正随机变量的均值估计量的抽样性质。给出了这些估计量的均方误差的精确近似表达式。得到了各种偏态分布的最优Winsorization方案。对于几种偏斜分布，给出了样本均值和Winsorized均值之间的效率比较。提出了一种近似无偏的温氏均值均方根误差估计方法。
Sampling properties of estimators of the mean of a positive random variable that Winsorize the largest or the two largest observations in the sample are investigated. Exact and approximate expressions for the mean squared errors of these estimators are derived. Optimal Winsorization schemes are obtained for various skewed distributions. Efficiency comparisons between the sample mean and Winsorized means are presented for several families of skewed distributions. A nearly unbiased estimator of the mean squared error of the Winsorized mean is proposed.