Estimation de la fonction de répartition : revue bibliographique

Servien, Rémi

Journal de la société française de statistique, Tome 150 (2009) no. 2, pp. 84-104.

L’estimation de la fonction de répartition d’une variable aléatoire est un volet important de l’estimation non paramétrique. De nombreuses méthodes ont été proposées et étudiées afin de modifier efficacement l’outil brut qu’est la fonction de répartition empirique. Dans cet article, nous effectuons un point bibliographique sur les différentes méthodes envisagées dans le cas de variables aléatoires réelles.

The estimation of the distribution function of a real random variable is an important topic in non parametric estimation. A number of methods have been proposed and studied to improve the efficiency of the raw empirical distribution function in a broad variety of context. The present paper aims at giving an overview of these methods.

Classification : 62G05
Mot clés : Fonction de répartition, Estimation non paramétrique, Efficacité des estimateurs.
Keywords: Distribution function, Non parametric estimation, Efficiency of estimators

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