All Questions
4
questions
1
vote
1
answer
70
views
How to estimate how heavy a tail is?
Suppose I have data coming from a single variate distribution. I want to estimate how heavy the tail of the distribution is. For example, if the data comes from the Zipf distribution, I would want the ...
- 145
0
votes
0
answers
53
views
Error $|\hat{f}_n(x)-f(x)|$ with regressogram estimator
I am learning about non parametric estimation, and more specifically about regressogram:
Let $(X_i,Y_i)_{i = 1}^n$ be a sequence of random variables in $[0,1]$ variables and $E[Y_i|X_i] = f(X_i)$. ...
- 11
5
votes
1
answer
1k
views
minimax estimator
In the lecture here
https://www.stat.berkeley.edu/~yuekai/201b/lec6.pdf
we have
"minimaxity does not imply admissibility: a minimax estimator has the best worst-case performance, but its ...
- 163
3
votes
1
answer
1k
views
MLE for a constant that is not an explicit parameter of the distribution
The following is a homework question from an undergrad intro stats class.
"Suppose we have a random sample $Y_1, \dots, Y_n$ from the shifted exponential distribution
$$
f(y|\theta) = \begin{cases}
e^...
- 3,387