This paper introduces a unified family of smoothed quantile estimators that continuously interpolate between classical empirical quantiles and the sample mean. The estimators q(z, h) are defined as minimizers of a regularized objective function depending on two parameters: a smoothing parameter h $\ge$ 0 and a location parameter z $\in$ R. When h = 0 and z $\in$ (-1, 1), the estimator reduces to the empirical quantile of order $\tau$ = (1z)/2; as h $\rightarrow$ $\infty$, it converges to the sample mean for any fixed z. We establish consistency, asymptotic normality, and an explicit variance expression characterizing the efficiency-robustness trade-off induced by h. A key geometric insight shows that for each fixed quantile level $\tau$ , the admissible parameter pairs (z, h) lie on a straight line in the parameter space, along which the population quantile remains constant while asymptotic efficiency varies. The analysis reveals two regimes: under light-tailed distributions (e.g., Gaussian), smoothing yields a monotonic but asymptotic variance reduction with no finite optimum; under heavy-tailed distributions (e.g., Laplace), a finite smoothing level h * ($\tau$ ) > 0 achieves strict efficiency improvement over the classical empirical quantile. Numerical illustrations confirm these theoretical predictions and highlight how smoothing balances robustness and efficiency across quantile levels.
翻译:本文提出了一族统一的平滑分位数估计器,其在经典经验分位数与样本均值之间连续插值。估计器 q(z, h) 定义为依赖于两个参数的正则化目标函数的最小化解:平滑参数 h ≥ 0 和位置参数 z ∈ R。当 h = 0 且 z ∈ (-1, 1) 时,估计器退化为阶数 τ = (1+z)/2 的经验分位数;当 h → ∞ 时,对于任意固定的 z,其收敛至样本均值。我们建立了一致性、渐近正态性以及一个显式方差表达式,该表达式刻画了由 h 引起的效率-鲁棒性权衡。一个关键的几何洞见表明,对于每个固定的分位数水平 τ,可容许的参数对 (z, h) 位于参数空间中的一条直线上,沿着该直线总体分位数保持恒定,而渐近效率发生变化。分析揭示了两种机制:在轻尾分布(例如高斯分布)下,平滑导致渐近方差单调减小但无有限最优值;在重尾分布(例如拉普拉斯分布)下,有限平滑水平 h*(τ) > 0 能够实现对经典经验分位数的严格效率提升。数值示例验证了这些理论预测,并突显了平滑如何在不同分位数水平上平衡鲁棒性与效率。