ESTIMATION OF A DISTRIBUTION FUNCTION DOMINATING STOCHASTICALLY A KNOWN DISTRIBUTION FUNCTION
作者:
Prem S. Puri,
Harshinder Singh,
期刊:
Australian Journal of Statistics
(WILEY Available online 1992)
卷期:
Volume 34,
issue 1
页码: 31-38
ISSN:0004-9581
年代: 1992
DOI:10.1111/j.1467-842X.1992.tb01040.x
出版商: Blackwell Publishing Ltd
关键词: Isotonic regression;stochastic dominance
数据来源: WILEY
摘要:
SummaryThis paper considers the problem of estimating a cumulative distribution function (cdf), when it is known a priori to dominate a known cdf. The estimator considered is obtained by adjusting the empirical cdf using the prior information. This adjusted estimator is shown to be consistent, its limiting distribution is found, and its mean squared error (MSE) is shown to be smaller than the MSE of the empirical cdf. Its asymptotic efficiency (compared to the empirical cdf) is also found.
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