Estimating a structural distribution function by grouping

MaRDI QIDQ6471717zbMATH OpenFDO

Authors Bert van Es, Stamatis Kolios

Publication date 8 March 2002

Mathematics Subject Classification ID

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

Abstract: By the method of Poissonization we confirm some existing results concerning consistent estimation of the structural distribution function in the situation of a large number of rare events. Inconsistency of the so called natural estimator is proved. The method of grouping in cells of equal size is investigated and its consistency derived. A bound on the mean squared error is derived.

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