Second Order Approximations for Slightly Trimmed Means

DOI10.1137/S0040585X97986618MaRDI QIDQ2931877zbMATH OpenFDO

Authors N. V. Gribkova, Roelof Helmers

Publication date 28 November 2014

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.3347

zbMATH Keywords

asymptotic normalityBerry-Esseen boundEdgeworth expansionintermediate sample quantilesslightly trimmed mean

Mathematics Subject Classification ID

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

Abstract: We investigate the second order asymptotic behavior of trimmed sums $T_n=frac1nsu{m}_{i=kn+1}^{n-mn}xin$, where $kn$, $mn$ are sequences of integers, $0lekn<n-mnlen$, such that $min(kn,mn)oinfty$, as $ty$, the $xin$'s denote the order statistics corresponding to a sample $X_1,\mathrm{...},X_n$ of $n$ i.i.d. random variables. In particular, we focus on the case of slightly trimmed sums with vanishing trimming percentages, i.e. we assume that $max(kn,mn)/no0$, as $ty$, and heavy tailed distribution $F$, i.e. the common distribution of the observations $F$ is supposed to have an infinite variance. We derive optimal bounds of Berry -- Esseen type of the order $$, $r_n=min(kn,mn)$, for the normal approximation to $T_n$ and, in addition, establish one-term expansions of the Edgeworth type for slightly trimmed sums and their studentized versions. Our results supplement previous work on first order approximations for slightly trimmed sums by Csorgo, Haeusler and Mason (1988) and on second order approximations for (Studentized) trimmed sums with fixed trimming percentages by Gribkova and Helmers (2006, 2007).

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Cited in

(2)

• Cramér-type moderate deviations for intermediate trimmed means
• Cramér type moderate deviations for trimmed \(L\)-statistics

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