On the asymptotic Fisher information in order statistics

Sangun Park ()

Metrika: International Journal for Theoretical and Applied Statistics, 2003, vol. 57, issue 1, 80 pages

Abstract: We extend the result of Efron and Johnstone (1990), who expressed the Fisher information in terms of the hazard function, to express the Fisher information in order statistics as an expectation of the incomplete integral of the hazard function. Then we obtain the the asymptotic Fisher information in terms of the incomplete integral of the hazard function. We also provide an asymptotic information plot, where we can instantly read the proportion of asymptotic information for any given quantile. Copyright Springer-Verlag 2003

Keywords: Convergence rate; Hazard function; Sample quantile (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:metrik:v:57:y:2003:i:1:p:71-80

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DOI: 10.1007/s001840200200

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