A note on the variance of a lightly trimmed mean when multiple outliers are present in the sample
In this note, a recurrence relation for product moments of order statistics arising from independent and non-identically distributed variables is utilized to derive a convenient formula for the variance of a lightly trimmed mean when one or more outliers are present in the sample. Formulas are presented for the two cases when: (i) the outliers are scale-outliers, and (ii) the outliers are location-outliers. Two examples are given to illustrate the usefulness of the formulas derived in this note.
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Volume (Year): 55 (2001)
Issue (Month): 4 (December)
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- Capéraà, Philippe & Rivest, Louis-Paul, 1995. "On the variance of the trimmed mean," Statistics & Probability Letters, Elsevier, vol. 22(1), pages 79-85, January.
- David, H. A. & Balakrishnan, N., 1996. "Product moments of order statistics and the variance of a lightly trimmed mean," Statistics & Probability Letters, Elsevier, vol. 29(1), pages 85-87, August.
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