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Generalized L ‐statistics: Correction to the Form of the Asymptotic Variance Presented by Helmers et al. (1990)
Author(s) -
Putt Mary,
Chinchilli Ver M.
Publication year - 1999
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00161
Subject(s) - mathematics , statistics , statistic , u statistic , asymptotic distribution , conditional variance , variance (accounting) , econometrics , minimum variance unbiased estimator , mean squared error , volatility (finance) , estimator , autoregressive conditional heteroskedasticity , accounting , business
We show that the asymptotic variance of a “generalized L ‐statistic” is a function of the difference between the conditional and unconditional cumulative distribution functions of the kernel used to form the statistic.