Analytic bias reduction for k-sample functionals

MaRDI QIDQ987088zbMATH OpenFDO

Authors Christopher S. Withers, Saralees Nadarajah

Publication date 13 August 2010

Published in Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0903.2889

Mathematics Subject Classification ID

Nonparametric inference (62G99)

Abstract: We give analytic methods for nonparametric bias reduction that remove the need for computationally intensive methods like the bootstrap and the jackknife. We call an estimate {it $p$th order} if its bias has magnitude $n_0^{-p}$ as $n_{0}oinfty$, where $n_0$ is the sample size (or the minimum sample size if the estimate is a function of more than one sample). Most estimates are only first order and require O(N) calculations, where $N$ is the total sample size. The usual bootstrap and jackknife estimates are second order but they are computationally intensive, requiring $O(N^2)$ calculations for one sample. By contrast Jaeckel's infinitesimal jackknife is an analytic second order one sample estimate requiring only O(N) calculations. When $p$th order bootstrap and jackknife estimates are available, they require $O(N^p)$ calculations, and so become even more computationally intensive if one chooses $p>2$. For general $p$ we provide analytic $p$th order nonparametric estimates that require only O(N) calculations. Our estimates are given in terms of the von Mises derivatives of the functional being estimated, evaluated at the empirical distribution. For products of moments an unbiased estimate exists: our form for this "polykay" is much simpler than the usual form in terms of power sums.

Cited in

(7)

• A note on bias reduction
• Density estimates of low bias
• Delta and jackknife estimators with low bias for functions of binomial and multinomial parameters
• Bias reduction when data are rounded
• Expansions for posterior distributions
• Bias reduction for standard and extreme estimates
• Bias-reduced estimates for skewness, kurtosis, L-skewness and L-kurtosis

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