✦ LIBER ✦

On the Loss of Information Due to Nonrandom Truncation

✍ Scribed by Michael Falk; Frank Marohn

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 240 KB
Volume: 72
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.1999.1850

No coin nor oath required. For personal study only.

✦ Synopsis

It is assumed that observations among an iid sample falling into certain subsets of the sample space cannot be observed directly, but only through their frequencies. Bounds for the corresponding loss of information are established, which are based on the Hellinger distance between the empirical point process N n of the complete set of observations and an empirical process N n * that aims at restoring N n . An application of these bounds to parametric models generalizes and quantifies results for locally asymptotically Gaussian experiments. When applied to extreme value models, this approach generalizes the peaks-over-threshold method for modeling the exceedances over high thresholds in an iid sample.

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