Summary
An estimator of the asymptotic variance of (a randomly stopped) linear combination of a function of order statistics is considered and its asymptotic normality is studied under appropriate regularity conditions. A comparative study of the regularity conditions pertaining to the asymptotic normality and strong convergence of linear combinations of functions of order statistics and their estimated asymptotic variances is also made.
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This research is dedicated to Professor Leopold Schmetterer on the occasion of his 60th birthday
Research supported by the Office of Naval Research under ONR Contract N00014-79-C-0522
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Gardiner, J.C., Kumar Sen, P. Asymptotic normality of a variance estimator of a linear combination of a function of order statistics. Z. Wahrscheinlichkeitstheorie verw Gebiete 50, 205–221 (1979). https://doi.org/10.1007/BF00533640
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DOI: https://doi.org/10.1007/BF00533640