Accession Number : ADA186029

Title :   Nonparametric Estimation of the Generalized Variance.

Descriptive Note : Technical rept.,

Corporate Author : PITTSBURGH UNIV PA CENTER FOR MULTIVARIATE ANALYSIS

Personal Author(s) : Sinha, Bimal K ; Sen, Pranab K

PDF Url : ADA186029

Report Date : Nov 1986

Pagination or Media Count : 15

Abstract : For multivariate distributions with finite second order moments, a nonparametric symmetric, unbiased estimator of the generalized variance is considered, and it is shown to be (nonparametric) optimal for the class of distributions having finite fourth order moments. A jackknifed version of the sample generalized variance is also considered as a contender; it is computationally more convenient and asymptotically equivalent to the former. It is also shown that the second estimator performs quite well (in large sample) relative to the optimal normal theory estimators under several loss functions. (Keywords: kernels; U-statistics; von mises' functionals).

Descriptors :   *ESTIMATES, *NONPARAMETRIC STATISTICS, LOSSES, MOMENTS, MULTIVARIATE ANALYSIS, DISTRIBUTION FUNCTIONS, OPTIMIZATION

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE