Estimating the Mean of Heavy-Tailed Distributions |
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| Authors: | Joachim Johansson |
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| Affiliation: | (1) Chalmers University of Technology, Göteborg, Sweden |
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| Abstract: | An asymptotically normally distributed estimate for the expected value of a positive random variable with infinite variance is introduced. Its behavior relative to estimation using the sample mean is investigated by simulations. An example of how to apply the estimate to file-size measurements on Internet traffic is also shown. |
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| Keywords: | Pareto distribution mean estimation heavy-tailed distributions telecommunication |
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