Asymptotic normality of Winsorized means

DOI10.1016/0304-4149(88)90031-2MaRDI QIDQ1105936zbMATH OpenOpenAlexFDO

Authors Philip S. Griffin

Publication date 1988

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(88)90031-2

zbMATH Keywords

arithmetic meanasymptotic normalityconvexity assumptionestimator of locationnecessary and sufficient conditionorder statisticsoutliersrobustified meanWinsorized mean

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30)

Review text

Given independent, identically distributed random variables \(X_ 1,...,X_ n\), let \(r_ n\) and \(s_ n\) be specified integers satisfying \(1\leq r_ n, s_ n\leq n/2\). A Winsorized mean is constructed by replacing the \(s_ n\) smallest observations and the \(r_ n\) largest observations by the \(s_ n th\) smallest observation and the \(r_ n th\) largest observation, respectively, before calculating an arithmetic mean. Suppose that \(r_ n,s_ n\to \infty\), \(r_ n/n,s_ n/n\to 0\), and that the underlying distribution function of the \(X_ i\) is ``convex at infinity. This paper gives a necessary and sufficient condition for the Winsorized mean to be asymptotically normal. Further, it is shown that asymptotic normality can fail when the convexity assumption is dropped, even if the \(X_ i\) are bounded.

Recommendations

• scientific article; zbMATH DE number 817502
• scientific article; zbMATH DE number 679741
• Statistical properties of Winsorized means for skewed distributions
• The asymptotic distribution of magnitude-Winsorized sums via self- normalization
• U-statistics on Winsorized and trimmed samples

Cites work

• Asymptotic normality and subsequential limits of trimmed sums
• scientific article; zbMATH DE number 3560401 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3188867 (Why is no real title available?)
• On Some Robust Estimates of Location
• Probability estimates for the small deviations of d-dimensional random walk
• Unimodality of infinitely divisible distribution functions of class L

Cited in

(8)

• Linear rank statistics, finite sampling, permutation tests and Winsorizing
• Asymptotic distributions of non-degenerate U-statistics on trimmed samples
• Estimation based on the winsorized mean in the geometric distribution
• BOUNDS ON THE BIAS OF WINSORIZED MEANS
• Statistical properties of Winsorized means for skewed distributions
• Variance of a Winsorized Mean When the Sample Contains Multiple Outliers
• Non-Gaussian limit distributions for \(U\)-statistics based on trimmed and winsorized samples
• The asymptotic distribution of magnitude-Winsorized sums via self- normalization

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