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October, 1971 Some Flexible Estimates of Location
Louis A. Jaeckel
Ann. Math. Statist. 42(5): 1540-1552 (October, 1971). DOI: 10.1214/aoms/1177693152


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.


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Louis A. Jaeckel. "Some Flexible Estimates of Location." Ann. Math. Statist. 42 (5) 1540 - 1552, October, 1971.


Published: October, 1971
First available in Project Euclid: 27 April 2007

zbMATH: 0232.62008
MathSciNet: MR350951
Digital Object Identifier: 10.1214/aoms/1177693152

Rights: Copyright © 1971 Institute of Mathematical Statistics


Vol.42 • No. 5 • October, 1971
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