Martingale representations of the Lynden-Bell estimator with applications

We derive a martingale representation for the Lynden-Bell estimator Fn and show that Fn fulfills linear upper and lower bounds.

Year of publication:	2009
Authors:	Strzalkowska-Kominiak, E. ; Stute, W.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 6, p. 814-820
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005222990