Resampling: consistency of substitution estimators
Resampling: consistency of substitution estimators
On the basis of N i.i.d. random variables with a common unknown distribution P we wish to estimate a functional $\tau_N(P)$. An obvious and very general approach to this problem is to find an estimator $\hat{P}_N$ of P first, and then construct a so-called substitution estimator $\tau_N (\hat{P}_N)$ of $\tau_N(P)$. …