Stuart_Armstrong comments on Mean of quantiles - Less Wrong

1 Post author: Stuart_Armstrong 09 September 2015 06:55PM

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Comment author: Stuart_Armstrong 10 September 2015 08:41:25AM 0 points [-]

So it seems like it might misbehave interestingly for distributions with oddly asymmetrical tails

Yep; it's not too hard to construct things where the limit doesn't exist. However, all the counterexamples I've found share an interesting property: they're not bounded above by any multiple of a power of (1/x). This might be the key requirement...

pseudomean(X)+pseudomean(Y) = pseudomean(X+Y)

Yes, that's exactly the property I'm looking for.