We propose a simple estimator for the weight in a two-component mixture model between a known and an unknown density. We make no parametric assumptions about the unknown component and estimate the weight conservatively, i.e., the estimate is smaller than the true value with high probability. A brief simulation is used to compare the proposal with already available conservative approaches. (C) 2011 Elsevier B.V. All rights reserved.
A conservative estimator for the proportion of false nulls based on Dvoretzky, Kiefer and Wolfowitz inequality / Farcomeni, Alessio; Simona, Pacillo. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - STAMPA. - 81:12(2011), pp. 1867-1870. [10.1016/j.spl.2011.07.017]
A conservative estimator for the proportion of false nulls based on Dvoretzky, Kiefer and Wolfowitz inequality
FARCOMENI, Alessio;
2011
Abstract
We propose a simple estimator for the weight in a two-component mixture model between a known and an unknown density. We make no parametric assumptions about the unknown component and estimate the weight conservatively, i.e., the estimate is smaller than the true value with high probability. A brief simulation is used to compare the proposal with already available conservative approaches. (C) 2011 Elsevier B.V. All rights reserved.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
