Lower bounds to the accuracy of sample maximum estimation.

Novak, Serguei (2009) Lower bounds to the accuracy of sample maximum estimation. Theory of Stochastic Processes, 15(31) (2). pp. 156-161.

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Abstract

We derive lower bounds for sup-norm losses of estimators of the distribution function of a sample maximum, and show that their consistent estimation in a general situation is impossible.

Item Type:Article
Research Areas:Business > Economics
ID Code:4411
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Deposited On:08 Mar 2010 13:53
Last Modified:06 Feb 2013 10:57

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