Large deviations of the winsorized mean of an exponential distribution

Stephen A. Book

Naval Research Logistics Quarterly, 1974, vol. 21, issue 3, 549-556

Abstract: An asymptotic representation for large deviation probabilities of the Winsorized mean of a sequence of independent, identically distributed exponential random variables is derived. The Winsorized mean, a linear combination of exponential order statistics, is first transformed into a weighted sum of exponential random variables, and then a large deviation theorem for weighted sums can be applied. The representation obtained is then compared with results already known for the mean and the median, the two extreme cases of the Winsorized mean.

Date: 1974
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Persistent link: https://EconPapers.repec.org/RePEc:wly:navlog:v:21:y:1974:i:3:p:549-556

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