Window Estimation of the Asymptotic Variance of Rank Estimators of Location.
CALIFORNIA UNIV BERKELEY DEPT OF STATISTICS
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Estimates of location based on rank statistics and score functions are receiving considerable attention in studies of robust statistics. When using such estimates, one frequently would also like to have an estimate of the variance of a Normal distribution to Studentize the mean. The paper proposes a window estimator for the principal part of the asymptotic variance. Modified author abstract
- Statistics and Probability