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Abstract Details
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Activity Number:
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652
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Type:
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Contributed
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Date/Time:
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Thursday, August 2, 2012 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #306745 |
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Title:
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On the Estimation of Order Statistics Under Measurement Error
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Author(s):
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Nilabja Guha*+
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Companies:
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University of Maryland Baltimore County
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Address:
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, , ,
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Keywords:
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Order statistics ;
Shrinkage estimator ;
Wasserstein metric
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Abstract:
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We consider the problem of predicting the order statistics when the data are observed with errors. We consider a shrinkage type estimator. Under the squared error loss, we consider the optimum value of this shrinkage parameter and characterize the large sample limiting form of the optimal shrinkage coefficient. The limit can be written using Wasserstein distance between standardized distributions of the observations and the true data values. When the limit is not estimable in closed form we explore bounds for the shrinkage coefficient and evaluate the efficiency of the procedure via simulation.
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