Best invariant estimation of a distribution function under the Kolmogorov-Smirnov loss function (Q1105933)

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Best invariant estimation of a distribution function under the Kolmogorov-Smirnov loss function
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    Best invariant estimation of a distribution function under the Kolmogorov-Smirnov loss function (English)
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    1988
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    Given a random sample of size n from an unknown continuous distribution function F, we consider the problem of estimating F nonparametrically from a decision theoretic approach. In our treatment, we assume the Kolmogorov-Smirnov loss function and the group of all one-to-one monotone transformations of real numbers onto themselves which leave the sample values invariant. Under this setup, we obtain a best invariant estimator of F which is shown to be unique. This estimator is a step function with unequal amounts of jumps at the observations and is an improper distribution function. I Consider a k-within-m-out-of-n system consisting of n independent and identically distributed random lifetimes with a common distribution function q. The author finds, under mild conditions, the limiting distribution of the system life-time as \(n\to \infty\).
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    Kolmogorov-Smirnov loss function
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    one-to-one monotone transformations
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    best invariant estimator
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    improper distribution
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    k-within-m-out-of-n system
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    limiting distribution
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