Efficient estimation of the reciprocal of the density quantile function at a point

DOI10.1016/0167-7152(86)90076-3MaRDI QIDQ1079307zbMATH OpenOpenAlexFDO

Authors G. Jogesh Babu

Publication date 1986

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(86)90076-3

zbMATH Keywords

asymptotic normalityconsistent estimators for the reciprocal of the density quantileconvergencedensity quantile estimatorsfunctionmean square errorquantile density functionstrong approximationsweak

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Review text

Let \(F_ n(x)\) be the edf of a sample from df F(x) having derivative \(f(x)>0\) at \(F^{-1}(p)\). Then \[ D(x,n,p)=n^{1/(2k- 1)}\int^{x}_{0}[F_ n^{-1}(p+vn^{2k-1})-F\quad_ n^{- 1}(p)]h(v)dv \] is a consistent estimator for \(1/f(F^{-1}(p))\). h(y) serves as a substitute for \(1/(v\cdot n^{2k-1})\) and it is assumed that \(h(y)e^ y\) is a polynomial of degree \(\leq k\), \(k\geq 2\). D(x,n,p) converges in mean square sense with rate \(n^{(2k-2)/(2k-1)}\). If \(k\leq 6\), then D(log n,n,p) is efficient among the class \(\{D(x,n,p)| x>0\}\).

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• Optimal rates of convergence for nonparametric estimators
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Cited in

(2)

• Joint asymptotic distribution of marginal quantiles and quantile functions in samples from a multivariate population
• Estimation of the reciprocal of the density quantile function at a point

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