
doi: 10.1137/0134006
Suppose the kth derivative $( {k\geqq 1} )$ of a distribution function $F^{( k )} ( x )$ is to be estimated at p distinct points $x_m ( {m = 1,2 \cdots ,p} )$. Let $\hat F^{( k )} ( {x_m } ) = ( {2h_n } )^{ - k} $\[ \sum\limits_{j = 0}^k {( - 1 )}^j \left( {\begin{array}{*{20}c} k \\ j \\ \end{array} } \right) F_n ( x_m + (k - 2j ) h_n )\quad ( m = 1,2, \cdots ,p ) \] be an estimate of $F^{( k )} ( {x_m } )( {m = 1,2, \cdots ,p} )$, where $F_n ( \cdot )$ is the empirical distribution function. It is shown that under suitable conditions the joint distribution of \[ \left( 2h_n \right)^{{ ( 2k - 1 )} / 2} n^{{1 / 2}} \left[ \hat F^{( k )} \left( x_m \right) - F^{( k )} \left( x_m \right) \right]\quad ( m = 1,2, \cdots ,p ) \] is asymptotically multivariate normal with means zero and diagonal dispersion matrix.
Asymptotic distribution theory in statistics, Nonparametric estimation
Asymptotic distribution theory in statistics, Nonparametric estimation
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