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November, 1974 A Comparison of Efficient Location Estimators
Friedrich-Wilhelm Scholz
Ann. Statist. 2(6): 1323-1326 (November, 1974). DOI: 10.1214/aos/1176342885

Abstract

For a given sufficiently regular distribution $F$ two efficient location estimators are given. One is a linear combination of order statistics, called $L(F)$, and the other is an estimator derived from a rank test, called $R(F)$. The asymptotic variance of both estimators is then compared for various underlying distributions $H$ and it is shown that the asymptotic variance of $R(F)$ is never larger than the one of $L(F)$.

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Friedrich-Wilhelm Scholz. "A Comparison of Efficient Location Estimators." Ann. Statist. 2 (6) 1323 - 1326, November, 1974. https://doi.org/10.1214/aos/1176342885

Information

Published: November, 1974
First available in Project Euclid: 12 April 2007

zbMATH: 0292.62032
MathSciNet: MR362697
Digital Object Identifier: 10.1214/aos/1176342885

Subjects:
Primary: 62G05
Secondary: 62G20 , 62G30

Keywords: efficiency , estimation , estimators derived from rank tests , linear combination of order statistics

Rights: Copyright © 1974 Institute of Mathematical Statistics

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Vol.2 • No. 6 • November, 1974
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