Efficiency of a Linear Combination of the Median and the Sample Mean: The Double Truncated Normal Distribution

Authors: Gabriela Damilano; Pedro Puig

Source: Scandinavian Journal of Statistics, Volume 31, Number 4, December 2004 , pp. 629-637(9)

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Abstract:

We characterize all symmetric location models for which a linear combination of the median and the sample mean is an asymptotically efficient estimator of the location parameter. The resulting model can be understood as a symmetrized or double truncated normal distribution. A simple algorithm to estimate the parameters is given and an application is presented.

Keywords: asymptotically efficient estimator; location and scale models; pseudolikelihood; symmetric location models; truncated normal distribution

Document Type: Research article

DOI: http://dx.doi.org/10.1111/j.1467-9469.2004.00411.x

Affiliations: 1: Universitat Autònoma de Barcelona

Publication date: 2004-12-01