Efficient estimation of the reciprocal of the density quantile function at a point

Gutti Jogesh Babu

Statistics & Probability Letters, 1986, vol. 4, issue 3, 133-139

Abstract: Consistent estimators for the reciprocal of the density at a quantile point are considered. Optimal rates of convergence of these estimators, depending on the smoothness properties of the density, are obtained. An symptotically efficient estimator sequence, in the mean square error sense, is found from among this class; unlike density estimators, these density quantile estimators do not require knowledge of the actual values of the density and its derivatives.

Keywords: density; quantile; function; quantile; density; function; weak; convergence; asymptotic; normality; strong; approximations; order; statistics (search for similar items in EconPapers)
Date: 1986
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