Granularity and Efficiency
网格粒度与估计效率AI 解读 ↓
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反馈分类问题网格粒度与估计效率AI 解读 ↓
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Hammersley (1950) considered, among other matters, the asymptotic relative efficiency (ARE) of the rounded sample median M ε with respect to the rounded sample mean as estimate of a Normal population mean restricted to a uniform grid of mesh size 2ε. This article extends Hammersley's work to a certain class of two-sided extended increasing failure rate (TEIFR) distributions for which the (grid-valued) population mean and median coincide, their common value designated as μ. The ARE of M ε with respect to , as estimators of μ, is examined for our class via the theory of large deviations. The role of the TEIFR assumption is simply to ensure that the tails of the distribution of X i − μ fall off quickly enough to make comparison of asymptotic probabilities of large (beyond ε) deviations of the location-normalized sample median M − μ and mean relevant to the comparison of their asymptotic variances. Even within our somewhat narrow class, we find the ARE of M ε with respect to surprisingly sensitive to distribution shape, as well as to grid mesh size and the actual definition of ARE. Among our findings is that, in the symmetric TEIFR class, the ARE of M ε with respect to is continuous in ε at ε = 0 under a definition of ARE closely related to the commonly used limiting ratio of equivalent sample sizes, but it is not continuous at ε = 0 under Hammersley's definition of ARE. A related finding is that, within the TEIFR class, the asymptotic effective variance [in the sense of Bahadur (1960)] of the sample median M equals its asymptotic variance as usually defined. Another finding is that, in the case of the Laplace distribution, M ε is asymptotically more efficient than , as estimator of the grid-valued population center μ, when the grid is fine (ε small), but it is asymptotically less efficient when the grid is coarse (ε large). All of these findings stem from the comparison of large-deviation rates that are equally relevant to the comparisons of asymptotic error rates of certain tests using and M as test statistics, a matter mentioned briefly in the last section.
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超越协方差的线性回归:高阶累积量中的潜在斜率谱
Least squares summarizes the joint distribution of a response and regressor through second-order information. When an observed regressor is composed of latent components carrying different relationships with the response, this summary can average over distinct linear effects. We study the additional linear information contained in higher-order mixed cumulants and formalize it through the latent slope spectrum. Ordinary least squares is a variance-weighted barycenter of this…