Estimating a structural distribution function by grouping
classification
🧮 math.ST
stat.TH
keywords
deriveddistributionfunctiongroupingmethodstructuralboundcalled
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By the method of Poissonization we confirm some existing results concerning consistent estimation of the structural distribution function in the situation of a large number of rare events. Inconsistency of the so called natural estimator is proved. The method of grouping in cells of equal size is investigated and its consistency derived. A bound on the mean squared error is derived.
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