Trimmed mean, bootstrap, optimal trimming
In this paper we revisit the problem of choosing an optimally trimmed mean. This problem was originally addressed by Jaeckel (1971). We propose alternatives to Jaeckel's estimator and its modifications discussed in Andrews et al. (1972). Jaeckel's procedure chooses the optimal trimming by minimizing an estimate of the asymptotic variance of the trimmed mean. We use the bootstrap procedure to choose the optimal trimming. A simulation study shows that our procedure compares favorably with Jaeckel's procedure. We also discuss modification of our procedure to the two sample setting.
Mehrotra, Kishan; Jackson, Paul; and Schick, Anton, "On Choosing An Optimally Trimmed Mean" (1990). Electrical Engineering and Computer Science Technical Reports. Paper 66.