For a given sufficiently regular distribution $F$ two efficient location estimators are given. One is a linear combination of order statistics, called $L(F)$, and the other is an estimator derived from a rank test, called $R(F)$. The asymptotic variance of both estimators is then compared for various underlying distributions $H$ and it is shown that the asymptotic variance of $R(F)$ is never larger than the one of $L(F)$.
Publié le : 1974-11-14
Classification:
Estimation,
linear combination of order statistics,
estimators derived from rank tests,
efficiency,
62G05,
62G20,
62G30
@article{1176342885,
author = {Scholz, Friedrich-Wilhelm},
title = {A Comparison of Efficient Location Estimators},
journal = {Ann. Statist.},
volume = {2},
number = {1},
year = {1974},
pages = { 1323-1326},
language = {en},
url = {http://dml.mathdoc.fr/item/1176342885}
}
Scholz, Friedrich-Wilhelm. A Comparison of Efficient Location Estimators. Ann. Statist., Tome 2 (1974) no. 1, pp. 1323-1326. http://gdmltest.u-ga.fr/item/1176342885/