Edgeworth expansion for the kernel quantile estimator

Yoshihiko Maesono, Spiridon Penev

研究成果: Contribution to journalArticle査読

1 被引用数 (Scopus)

抄録

Using the kernel estimator of the pth quantile of a distribution brings about an improvement in comparison to the sample quantile estimator. The size and order of this improvement is revealed when studying the Edgeworth expansion of the kernel estimator. Using one more term beyond the normal approximation significantly improves the accuracy for small to moderate samples. The investigation is nonstandard since the influence function of the resulting L-statistic explicitly depends on the sample size. We obtain the expansion, justify its validity and demonstrate the numerical gains in using it.

本文言語英語
ページ(範囲)617-644
ページ数28
ジャーナルAnnals of the Institute of Statistical Mathematics
63
3
DOI
出版ステータス出版済み - 6 2011

All Science Journal Classification (ASJC) codes

  • 統計学および確率

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