Banks’ criterion and symmetric stable laws with index of stability between one-half and one

Abstract

In this paper we compare the sample mean and the sample median of independent and identically distributed data that come from a symmetric stable distribution using Banks’ (1997) criterion, which is an alternative to Pitman’s (1937) criterion for comparing estimators of a parameter of interest. For data from a symmetric stable distribution with index of stability between one half and one and odd sample size, we show that Banks’ criterion choses the sample median as an estimator of the location parameter of the distribution. For data from a normal distribution with even sample size, we show that Banks’ criterion favours the sample mean (thus “complementing” a similar result about odd sample sizes in Karunaratne and Hadjicostas (2009)). In the process, we prove some trigonometric inequalities, which are interesting in their own right.