We consider method-of-quantiles estimators of unknown one-dimensional parameters, namely the analogue of method-of-moments estimators obtained by matching empirical and theoretical quantiles at some probability level λ∈(0,1). The aim is to present large deviation results for these estimators as the sample size tends to infinity. We study in detail several examples; for specific models we discuss the choice of the optimal value of λ and we compare the convergence of the method-of-quantiles and method-of-moments estimators.
Large deviations for method-of-quantiles estimators of one-dimensional parameters / Bignozzi, Valeria; Macci, Claudio; Petrella, Lea. - In: COMMUNICATIONS IN STATISTICS. THEORY AND METHODS. - ISSN 0361-0926. - (2020), pp. 1132-1157. [10.1080/03610926.2018.1554134]
Large deviations for method-of-quantiles estimators of one-dimensional parameters
Petrella Lea
2020
Abstract
We consider method-of-quantiles estimators of unknown one-dimensional parameters, namely the analogue of method-of-moments estimators obtained by matching empirical and theoretical quantiles at some probability level λ∈(0,1). The aim is to present large deviation results for these estimators as the sample size tends to infinity. We study in detail several examples; for specific models we discuss the choice of the optimal value of λ and we compare the convergence of the method-of-quantiles and method-of-moments estimators.File | Dimensione | Formato | |
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