Standard errors and covariance matrices for smoothed rank estimators
Brown, B.M. & Wang, You-Gan (2005) Standard errors and covariance matrices for smoothed rank estimators. Biometrika, 92(1), pp. 149-158.
A 'pseudo-Bayesian' interpretation of standard errors yields a natural induced smoothing of statistical estimating functions. When applied to rank estimation, the lack of smoothness which prevents standard error estimation is remedied. Efficiency and robustness are preserved, while the smoothed estimation has excellent computational properties. In particular, convergence of the iterative equation for standard error is fast, and standard error calculation becomes asymptotically a one-step procedure. This property also extends to covariance matrix calculation for rank estimates in multi-parameter problems. Examples, and some simple explanations, are given.
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|Item Type:||Journal Article|
|Keywords:||covariance estimator, estimating function, induced smoothing, kernel, estimator, linearisation, one step estimation, rank estimation, sandwich, formula, second-order convergence, standard error, Wilcoxon estimator, models|
|Divisions:||Current > QUT Faculties and Divisions > Science & Engineering Faculty|
|Deposited On:||18 Nov 2015 01:13|
|Last Modified:||18 Nov 2015 01:13|
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