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2025-04-13
standard
estimation
calculation
Singapore
covariance
rank
soextends
al
remedied
prevent
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Biometrika (2005), 92, 1, pp. 149–158
© 2005 Biometrika Trust
Printed in Great Britain
Standard errors and covariance matrices for smoothed rank
estimators
B B. M. BROWN and YOU-GAN WANG
Department of Statistics and Applied Probability, National University of Singapore,
Singapore 117543
stabbm@nus.edu.sg stawyg@nus.edu.sg
S
A ‘pseudo-Bayesian’ interpretation of standard errors yields a natural induced smooth-
ing of statistical estimating functions. When applied to rank estimation, the lack of
smoothness which prevents standard error estimation is remedied. Efficiency and robust-
ness are preserved, while the smoothed estimation has excellent computational properties.
In particular, convergence of the iterative equation for standard error is fast, and standard
error calculation becomes asymptotically a one-step procedure. This property also
extends to covariance matrix calculation for rank estimates in multi-parameter problems.
Examples, and some simple explanat
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