The Bernstein polynomial estimator of a smooth quantile function

An estimator of a smooth quantile function (q.f.) is constructed by Bernstein polynomial smoothing of the empirical quantile function. Asymptotic behavior of this estimator is demonstrated by a weighted Brownian bridge in-probability uniform approximation. Oscillation behavior of this estimator in finite samples is demonstrated by spectral decomposition and preservation of high-order convexity of the empirical quantile function.

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Year of publication:	1995
Authors:	Cheng, Cheng
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 24.1995, 4, p. 321-330
Publisher:	Elsevier
Keywords:	Quantile function Bernstein polynomial Smoothing Approximation Spectral decomposition Convexity

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

Persistent link: https://www.econbiz.de/10005137778