Argmax-stable marked empirical processes

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

Abstract

We consider a marked empirical process corresponding to a sample X1, ..., Xn of independent and identically distributed random variables and exchangeable random marks C1, ..., Cn. If the sum of all marks is equal to zero, then there exists a certain order statistic with random index, which is a maximizing point of the process. It is shown that for each finite sample size n ∈ N this point of maximum has the same distribution as X1 (argmax-stability). As an application we derive the exact distribution of an estimator for the discontinuity point in a regression function.

Details

OriginalspracheEnglisch
Seiten (von - bis)1203-1206
Seitenumfang4
FachzeitschriftStatistics and Probability Letters
Jahrgang79
Ausgabenummer9
PublikationsstatusVeröffentlicht - 1 Mai 2009
Peer-Review-StatusJa