Approximating distribution functions by iterated function systems

DOI10.1155/JAMDS.2005.33MaRDI QIDQ86288zbMATH OpenOpenAlexFDO

Authors Stefano M. Iacus, Davide La Torre, Stefano Maria Iacus

Publication date 1 January 2005

Published in Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0111152, https://eudml.org/doc/126341

Mathematics Subject Classification ID

Classical measure theory (28A99) Characterization and structure theory of statistical distributions (62E10) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Abstract: In this paper an iterated function system on the space of distribution functions is built. The inverse problem is introduced and studied by convex optimization problems. Some applications of this method to approximation of distribution functions and to estimation theory are given.

Review text

Summary: An iterated function system (IFS) on the space of distribution functions is built with the aim of proposing a new class of distribution function estimators. One IFS estimator and its asymptotic properties are studied in detail. We also propose a density estimator derived from the IFS distribution function estimator by using Fourier analysis. Relative efficiencies of both estimators, for small and moderate sample sizes, are presented via Monte Carlo analysis.

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