Abstract
Taking the sample mean of a set of measurements need not be uniformly advantageous, even when $n = 2$ and all moments are finite. The examples presented include one given by Edgeworth in 1883.
Citation
Stephen M. Stigler. "An Edgeworth Curiosum." Ann. Statist. 8 (4) 931 - 934, July, 1980. https://doi.org/10.1214/aos/1176345085
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