The asymptotic distribution of a truncated sample mean for the extremely heavy-tailed distributions
Author:
Affiliation:
1. Department of Statistics, School of Mathematical Sciences, Shanghai Jiao Tong University, Shanghai, China
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2023.2209231
Reference19 articles.
1. Robust estimation of high-dimensional covariance and precision matrices
2. Bandits With Heavy Tail
3. Cohen, J. E., R. A. Davis, and G. Samorodnitsky. 2020. Heavy-tailed distributions correlations, kurtosis and Taylor’s law of fluctuation scaling. Proceedings of the Royal Society of London. Series A, Mathematical and Physical Sciences 476:20200610.
4. Information–Theoretic Aspects of Location Parameter Estimation under Skew–Normal Settings
5. Fat‐Tailed Distributions: Volume 1
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