Uniform strong consistency of sample quantiles
It is well known that if xq(F) is the unique qth quantile of a distribution function F, then Xk(n):n with k(n)/n --> q is a strongly consistent estimator of xq(F). However, for every [var epsilon] >0 and for every, even very large n, supF[set membership, variant]F,PF{Xk(n):n--Xq(F)>[var epsilon]}=1. This is a consequence of the fact that in the family of all distribution functions with uniquely defined qth quantile the almost sure convergence Xk(n):n --> xq(F) is not uniform. A simple necessary and sufficient condition for the uniform strong consistency of Xk(n):n is given.
Year of publication: |
1998
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---|---|
Authors: | Zielinski, Ryszard |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 37.1998, 2, p. 115-119
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Publisher: |
Elsevier |
Keywords: | Uniform strong convergence Sample quantiles Nonparametric model [var epsilon]-contamination |
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