Standard errors and covariance matrices for smoothed rank estimators
Data(s) |
2005
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Resumo |
A 'pseudo-Bayesian' interpretation of standard errors yields a natural induced smoothing of statistical estimating functions. When applied to rank estimation, the lack of smoothness which prevents standard error estimation is remedied. Efficiency and robustness are preserved, while the smoothed estimation has excellent computational properties. In particular, convergence of the iterative equation for standard error is fast, and standard error calculation becomes asymptotically a one-step procedure. This property also extends to covariance matrix calculation for rank estimates in multi-parameter problems. Examples, and some simple explanations, are given. |
Identificador | |
Publicador |
Oxford University Press |
Relação |
DOI:10.1093/biomet/92.1.149 Brown, B.M. & Wang, You-Gan (2005) Standard errors and covariance matrices for smoothed rank estimators. Biometrika, 92(1), pp. 149-158. |
Fonte |
Science & Engineering Faculty |
Palavras-Chave | #covariance estimator #estimating function #induced smoothing #kernel #estimator #linearisation #one step estimation #rank estimation #sandwich #formula #second-order convergence #standard error #Wilcoxon estimator #models |
Tipo |
Journal Article |