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On the asymptotic Fisher information in order statistics

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  • Sangun Park

Abstract

We extend the result of Efron and Johnstone (1990), who expressed the Fisher information in terms of the hazard function, to express the Fisher information in order statistics as an expectation of the incomplete integral of the hazard function. Then we obtain the the asymptotic Fisher information in terms of the incomplete integral of the hazard function. We also provide an asymptotic information plot, where we can instantly read the proportion of asymptotic information for any given quantile. Copyright Springer-Verlag 2003

Suggested Citation

  • Sangun Park, 2003. "On the asymptotic Fisher information in order statistics," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 57(1), pages 71-80, February.
    • Handle: RePEc:spr:metrik:v:57:y:2003:i:1:p:71-80
    DOI: 10.1007/s001840200200
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    References listed on IDEAS

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    1. Gertsbakh, I., 1995. "On the Fisher information in type-I censored and quantal response data," Statistics & Probability Letters, Elsevier, vol. 23(4), pages 297-306, June.
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    Cited by:

    1. Park, Sangun & Balakrishnan, N., 2009. "On simple calculation of the Fisher information in hybrid censoring schemes," Statistics & Probability Letters, Elsevier, vol. 79(10), pages 1311-1319, May.
    2. Park, Sangun & Balakrishnan, N. & Zheng, Gang, 2008. "Fisher information in hybrid censored data," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2781-2786, November.
    3. H. Nagaraja & Z. Abo-Eleneen, 2008. "Fisher information in order statistics and their concomitants in bivariate censored samples," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 67(3), pages 327-347, April.
    4. Sangun Park, 2014. "On Kullback–Leibler information of order statistics in terms of the relative risk," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(5), pages 609-616, July.

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