The Mean-Square Error of Bahadur's Order-Statistic Approximation

Author:
  • DDD. L. Duttweiler
    D. L. Duttweiler
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Abstract
Under the assumption of a uniform parent distribution, we find an exact expression for the mean-square error of an order-statistic approximation suggested by R. R. Bahadur. From this result we obtain an asymptotic formula for the mean-square error when the parent distribution is not necessarily uniform by transforming with the inverse of the cumulative distribution function of the parent.