Asymptotically Minimax Estimators for Distributions with Increasing Failure Rate
Wang, Jane-Ling
Ann. Statist., Tome 14 (1986) no. 2, p. 1113-1131 / Harvested from Project Euclid
We construct nonparametric estimators of the distribution function F and its hazard function in the class of all increasing failure rate (IFR) distribution. Denoting the empirical distribution and empirical hazard function by $F_n$ and $H_n$ , respectively, let $C_n$ be the greatest convex minorant of $H_n$, and $G_n$ the distribution with hazard function $C_n$. The estimator $G_n$ is itself IFR. We prove that under suitable restrictions on F, and for any fixed $\lambda$ with $F(\lambda)<1$, $sup_{x\leq\lambda {n^{1/2}}}|C_n(x)-H_n(x)|$ and $sup_{x\leq\lambda{n^{1/2}}}|G_n(x)-F_n(x)|$ both tend to zero in probability. This means that $G_n$ and $F_n$ are asymptotically $n^{1/2}$ equivalent. It follows from Millar (1979) that $F_n$ is asymptoticallyminimax among the class of all IFR distributions for a large class of loss functions. This property extends to our estimator $G_n)$ under some restrictions.
Publié le : 1986-09-14
Classification:  Asymptotically minimax estimator,  increasing failure rate,  greatest convex minorant,  (empirical) hazard function,  62G05,  62N05,  62G20
@article{1176350053,
     author = {Wang, Jane-Ling},
     title = {Asymptotically Minimax Estimators for Distributions with Increasing Failure Rate},
     journal = {Ann. Statist.},
     volume = {14},
     number = {2},
     year = {1986},
     pages = { 1113-1131},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176350053}
}
Wang, Jane-Ling. Asymptotically Minimax Estimators for Distributions with Increasing Failure Rate. Ann. Statist., Tome 14 (1986) no. 2, pp.  1113-1131. http://gdmltest.u-ga.fr/item/1176350053/