Estimation of the reciprocal of the density quantile function at a point

Jogesh Babu, Gutti ; Radhakrishna Rao, C. (1990) Estimation of the reciprocal of the density quantile function at a point Journal of Multivariate Analysis, 33 (1). pp. 106-124. ISSN 1095-7243

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Official URL: http://dx.doi.org/10.1016/0047-259X(90)90008-6

Related URL: http://dx.doi.org/10.1016/0047-259X(90)90008-6

Abstract

Consistent estimators for the reciprocal of the density at a quantile point, which is the derivative of the quantile function, are considered. Rates of convergence of these estimators, depending on the smoothness properties of the density, are obtained. Two different, but natural, estimators of the reciprocal of the density at a quantile point, based on several samples from a location parameter family with unknown and possibly different location parameters are proposed. An important multivariate application is the estimation of the asymptotic dispersion matrix of several sample quantiles, as they involve reciprocals of the density at the corresponding population quantiles.

Item Type:Article
Source:Copyright of this article belongs to Elsevier Science.
Keywords:Kernel Density Estimation; Location Parameter Family; Quantile Density Function; Quantile Density Estimation
ID Code:42485
Deposited On:04 Jun 2011 08:58
Last Modified:04 Jun 2011 08:58

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