Consider a linear function of order statistics (“L‐estimate”) which can be expressed as a statistical function T(Fn) based on the sample cumulative distribution function Fn. Let T*(Fn) be the corresponding jackknifed version of T(Fn), and let V2 n be the jackknife estimate of the asymptotic variance of n 1/2T(Fn) or n 1/2T*(Fn). In this paper, we provide a Berry‐Esséen rate of the normal approximation for a Studentized jackknife L‐estimate n1/2[T*(Fn) ‐ T(F)]/Vn, where T(F) is the basic functional associated with the L‐estimate.
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty