Ordres stochastiques et efficacité asymptotique des L-estimateurs

The efficiency of an estimator depends heavily on the tails of the distribution of the observations. Several partial orders have been defined to compare probability distributions according to their tails. In this paper we show that the asymptotic relative efficiency of two L-estimators with monotone weight functions is isotonic with respect to the partial orders defined by van Zwet (1964) and Lawrence (1975). We also give results concerning trimmed means.