Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10524705 | Journal of Multivariate Analysis | 2005 | 25 Pages |
Abstract
In this paper, we characterize and construct efficient estimators of linear functionals of a bivariate distribution with equal marginals. An efficient estimator equals the empirical estimator minus a correction term and provides significant improvements over the empirical estimator. We construct an efficient estimator by estimating the correction term. For this we use the least-squares principle and an estimated orthonormal basis for the Hilbert space of square-integrable functions under the unknown equal marginal distribution. Simulations confirm the asymptotic behavior of this estimator in moderate sample sizes and the considerable theoretical gains over the empirical estimator.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Hanxiang Peng, Anton Schick,