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Approach to normality of mean and M‐estimators of location
Author(s) -
Field Christopher
Publication year - 1985
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315150
Subject(s) - normality , estimator , central limit theorem , mathematics , derivative (finance) , nonlinear system , limit (mathematics) , sample (material) , statistics , mathematical analysis , econometrics , physics , economics , thermodynamics , quantum mechanics , financial economics
The approach to normality of an estimate is displayed graphically by the nonlinearity in the derivative of the log density, and this nonlinearity is related to the accuracy of the normal approximation for the tail area. Using techniques from small‐sample asymptotics, an alternate proof of the central limit theorem is given and same indices of tail behavior are examined.