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As in the last problem, use the influence function of the Wilcoxon estimator of β to derive the asymptotic distribution of the Wilcoxon estimator
As in the last problem, use the influence function of the Wilcoxon estimator of β to derive the asymptotic distribution of the Wilcoxon estimator. For Wilcoxon scores, show that it agrees with expression (10.7.14).
Use the results of the last two exercises to find the asymptotic relative efficiency (ARE) between the Wilcoxon and LS estimators of β.
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