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On Some Smooth Estimators of the Quantile Function for a Stationary Associated Process

Author

Listed:
  • Yogendra P. Chaubey

    (Concordia University)

  • Isha Dewan

    (Indian Statistical Institute, Delhi Centre)

  • Jun Li

    (Nanjing Audit University
    Hainan Normal University)

Abstract

Let {Xn, n ≥ 1} be a sequence of stationary non-negative associated random variables with common marginal distribution function F(x) and quantile function Q(u), where Q(u) is defined as F(Q(u)) = u. Here we consider the smooth estimation of Q(u), adapted from generalized kernel smoothing (Cheng and Parzen J. Stat. Plann. Infer. 59, 291–307, 1997) of the empirical quantile function. Some asymptotic properties of the kernel quantile estimator, for associated sequences, are also established parallel to those in the i.i.d. case. Various estimators in this class of estimators are contrasted, through a simulation study, among themselves and with an indirect smooth quantile estimator obtained by inverting the Poisson weights based estimator of the distribution function studied in Chaubey et al. (Statist. Probab. Lett. 81, 267–276, 2011). The indirect smoothing estimator seems to be the best estimator on account of smaller MSE, however, a quantile estimator based on the Bernstein polynomials and that using the corrected Poisson weights turn out to be almost as good as the inverse distribution function estimator using Poisson weights.

Suggested Citation

  • Yogendra P. Chaubey & Isha Dewan & Jun Li, 2021. "On Some Smooth Estimators of the Quantile Function for a Stationary Associated Process," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 114-139, May.
    • Handle: RePEc:spr:sankhb:v:83:y:2021:i:1:d:10.1007_s13571-020-00242-x
    DOI: 10.1007/s13571-020-00242-x
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    References listed on IDEAS

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