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

G. Jogesh Babu, C. Radhakrishna Rao

Research output: Contribution to journalArticle

4 Citations (Scopus)

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.

Original languageEnglish (US)
Pages (from-to)106-124
Number of pages19
JournalJournal of Multivariate Analysis
Volume33
Issue number1
DOIs
StatePublished - Jan 1 1990

Fingerprint

Quantile Function
Density Function
Probability density function
Quantile
Location Parameter
Sample Quantiles
Derivatives
Estimator
Consistent Estimator
Smoothness
Rate of Convergence
Derivative
Unknown

All Science Journal Classification (ASJC) codes

  • Statistics, Probability and Uncertainty
  • Numerical Analysis
  • Statistics and Probability

Cite this

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Estimation of the reciprocal of the density quantile function at a point. / Babu, G. Jogesh; Radhakrishna Rao, C.

In: Journal of Multivariate Analysis, Vol. 33, No. 1, 01.01.1990, p. 106-124.

Research output: Contribution to journalArticle

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