EconPapers    
Economics at your fingertips  
 

Inference on a distribution from noisy draws

Koen Jochmans and Martin Weidner

No CWP14/18, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: We consider a situation where a distribution is being estimated by the empirical distribution of noisy measurements. The measurements errors are allowed to be heteroskedastic and their variance may depend on the realization of the underlying random variable. We use an asymptotic embedding where the noise shrinks with the sample size to calculate the leading bias arising from the presence of noise. Conditions are obtained under which this bias is asymptotically non-negligible. Analytical and jackknife corrections for the empirical distribution are derived that recenter the limit distribution and yield con fidence intervals with correct coverage in large samples. Similar adjustments are presented for nonparametric estimators of the density and quantile function. Our approach can be connected to corrections for selection bias and shrinkage estimation. Simulation results confi rm the much improved sampling behavior of the corrected estimators. An empirical application to the estimation of a stochastic-frontier model is also provided.

Keywords: bias correction; nonparametric inference; regression to the mean. (search for similar items in EconPapers)
JEL-codes: C14 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ore
Date: 2018-02-27
References: View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.ifs.org.uk/uploads/CWP141818.pdf (application/pdf)

Related works:
Working Paper: Inference on a distribution from noisy draws (2019) Downloads
Working Paper: Inference on a Distribution from Noisy Draws (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:14/18

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().

 
Page updated 2019-05-24
Handle: RePEc:ifs:cemmap:14/18