© 1983 by Biometrika Trust
Variances for adaptive trimmed means
Department of Statistics, Kansas State University Manhattan, Kansas, U.S.A.
Vaught Corporation, Grand Prairie, Texas, U.S.A.
Asymptotic variances for trimmed means as adaptive location estimators in the exponential power family of distributions were derived by Prescott (1978). It is shown that, when the behaviour of the adapting statistic is accounted for, the variances may change significantly from the asymptotic values. Continuously adapting statistics are shown to be less desirable when the sample size is small.
Key Words: Adaptive estimator Cramér-Rao lower bound Exponential power family Location parameter