Estimating the structural distribution function of cell probabilities

Robert M. Mnatsakanov, Chris A. J. Klaassen, A. J. van Es

Publication date: 28 October 2002

Abstract: We consider estimation of the structural distribution function of the cell probabilities of a multinomial sample in situations where the number of cells is large. We review the performance of the natural estimator, an estimator based on grouping the cells and a kernel type estimator. Inconsistency of the natural estimator and weak consistency of the other two estimators is derived by Poissonization and other, new, technical devices.

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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