Asymptotic Expansions for Median Estimate of a Parameter
We obtain asymptotic expansions for the distribution of a median (of empirical distribution) estimate of a parameter in additive noise with symmetric density. For Laplacian (i.e., two-sided exponential) density this estimate coincides with the maximum likelihood estimate. As a corollary we obtain as...
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| Veröffentlicht in: | Theory of probability and its applications 1997-01, Vol.41 (4), p.632-645 |
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| container_title | Theory of probability and its applications |
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| creator | Burnashev, M. V. |
| description | We obtain asymptotic expansions for the distribution of a median (of empirical distribution) estimate of a parameter in additive noise with symmetric density. For Laplacian (i.e., two-sided exponential) density this estimate coincides with the maximum likelihood estimate. As a corollary we obtain asymptotic expansions for moments of these estimates. Numerical comparisons with exact data show that the use of asymptotic expansions significantly increases the accuracy of statistical inferences even for relatively small sample sizes. |
| doi_str_mv | 10.1137/S0040585X97975678 |
| format | Article |
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V.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Asymptotic Expansions for Median Estimate of a Parameter</atitle><jtitle>Theory of probability and its applications</jtitle><date>1997-01-01</date><risdate>1997</risdate><volume>41</volume><issue>4</issue><spage>632</spage><epage>645</epage><pages>632-645</pages><issn>0040-585X</issn><eissn>1095-7219</eissn><abstract>We obtain asymptotic expansions for the distribution of a median (of empirical distribution) estimate of a parameter in additive noise with symmetric density. For Laplacian (i.e., two-sided exponential) density this estimate coincides with the maximum likelihood estimate. As a corollary we obtain asymptotic expansions for moments of these estimates. 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| identifier | ISSN: 0040-585X |
| ispartof | Theory of probability and its applications, 1997-01, Vol.41 (4), p.632-645 |
| issn | 0040-585X 1095-7219 |
| language | eng |
| recordid | cdi_proquest_journals_914504486 |
| source | LOCUS - SIAM's Online Journal Archive |
| subjects | Approximation Central limit theorem Estimates Noise Random variables Sample size |
| title | Asymptotic Expansions for Median Estimate of a Parameter |
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