Asymptotic Theory of $L$-Statistics and Integrable Empirical Processes

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Tác giả: Tetsuya Kaji

Ngôn ngữ: eng

Ký hiệu phân loại: 331.211 Labor economics

Thông tin xuất bản: 2019

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Bộ sưu tập: Metadata

ID: 163492

Comment: 30 pages, 1 table, 1 figureThis paper develops asymptotic theory of integrals of empirical quantile functions with respect to random weight functions, which is an extension of classical $L$-statistics. They appear when sample trimming or Winsorization is applied to asymptotically linear estimators. The key idea is to consider empirical processes in the spaces appropriate for integration. First, we characterize weak convergence of empirical distribution functions and random weight functions in the space of bounded integrable functions. Second, we establish the delta method for empirical quantile functions as integrable functions. Third, we derive the delta method for $L$-statistics. Finally, we prove weak convergence of their bootstrap processes, showing validity of nonparametric bootstrap.
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