Estimation of a Symmetric Distribution
Lo, Shaw-Hwa
Ann. Statist., Tome 13 (1985) no. 1, p. 1097-1113 / Harvested from Project Euclid
Suppose that $F_0$ is a population which is symmetric about zero, so that $F(\cdot) = F_0(\cdot - \theta)$ is symmetric about $\theta$. We consider the problem of estimating $F_0$ (shape parameter), both $\theta$ and $F_0$, and $F$ based on a random sample from $F$. First, some asymptotically minimax bounds are obtained. Then, some estimates are constructed which are asymptotically minimax-efficient (the risks of which achieve the minimax bounds uniformly). Furthermore, it is pointed out that one can estimate $F_0$, the shape of $F$, as well without knowing the location parameter $\theta$ as with knowing it. After a slight modification, Stone's (1975) estimator is proved to be asymptotically minimax-efficient in the Hellinger neighborhood.
Publié le : 1985-09-14
Classification:  Gaussian experiments,  distribution functions,  asymptotically minimax estimators,  location parameters,  62E20,  62G20,  62G30
@article{1176349658,
     author = {Lo, Shaw-Hwa},
     title = {Estimation of a Symmetric Distribution},
     journal = {Ann. Statist.},
     volume = {13},
     number = {1},
     year = {1985},
     pages = { 1097-1113},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176349658}
}
Lo, Shaw-Hwa. Estimation of a Symmetric Distribution. Ann. Statist., Tome 13 (1985) no. 1, pp.  1097-1113. http://gdmltest.u-ga.fr/item/1176349658/