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Asymptotic covariance #24

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jorenham opened this issue Sep 4, 2023 · 0 comments
Open
2 tasks

Asymptotic covariance #24

jorenham opened this issue Sep 4, 2023 · 0 comments
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enhancement New feature or request low priority Other issues should be considered first

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@jorenham
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jorenham commented Sep 4, 2023 •
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Asymptotic covariance is defined as

$$\mathbb{AV}_F[T_i, T_j] = \mathbb{E}_F[\psi_{T_i | F}(X) \; \psi_{T_j | F}(X)]\; ,$$

with statistical functional $T_r$ either an L-moment or L-ratio (theoretical or sample estimate), $\psi_{T_j | F}(X)$ its influence function, and $F(x)$ the CDF or ECDF.

  • parametric
  • nonparametric
@jorenham jorenham added the enhancement New feature or request label Sep 4, 2023
@jorenham jorenham added the low priority Other issues should be considered first label Mar 29, 2024
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