A conservative estimator for the proportion of false nulls based on Dvoretzky, Kiefer and Wolfowitz inequality

We propose a simple estimator for the weight in a two-component mixture model between a known and an unknown density. We make no parametric assumptions about the unknown component and estimate the weight conservatively, i.e., the estimate is smaller than the true value with high probability. A brief simulation is used to compare the proposal with already available conservative approaches.

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Year of publication:	2011
Authors:	Farcomeni, Alessio ; Pacillo, Simona
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 12, p. 1867-1870
Publisher:	Elsevier
Subject:	Conservative estimation \| Mixture models \| Multiple testing \| Photon arrival times

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571787