Heteroscedastic Deconvolution of P(X<Y) with Compactly Supported Error Densities

• Published in: Journal of statistical theory and practice Vol. 13; no. 3
• Main Authors: Trong, Dang Duc, Nguyen, Ton That Quang, Lan, Nguyen Nhu
• Format: Journal Article
• Language: English
• Published: Cham Springer International Publishing 01.09.2019
• Subjects: Mathematics and Statistics; Original Article; Probability Theory and Stochastic Processes; Statistical Theory and Methods; Statistics; 62G05; Convergence rate; Deconvolution; 62G99; Heteroscedastic; Estimator

We deal with the problem of the nonparametric estimation of P X < Y which is also known as the stress–strength model problem when both X and Y are observed with additional errors. We provide the convergence rate for the suggested estimator and give a lower bound in the case that the error random...