Large deviations of estimators (Q1082733): Difference between revisions
From MaRDI portal
Removed claim: reviewed by (P1447): Item:Q239836 |
Set OpenAlex properties. |
||
(2 intermediate revisions by 2 users not shown) | |||
Property / reviewed by | |||
Property / reviewed by: Masafumi Akahira / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1214/aos/1176349944 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2018961610 / rank | |||
Normal rank |
Revision as of 01:23, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Large deviations of estimators |
scientific article |
Statements
Large deviations of estimators (English)
0 references
1986
0 references
The authors investigate the asymptotic behaviour of estimators \(T_ n\) of g(\(\theta)\) using its inaccuracy rate \[ e(\epsilon,\theta,T_ n)=- \liminf_{n\to \infty}n^{-1} \log P_{\theta}\{\| T_ n- g(\theta)\| >\epsilon \} \] for fixed \(\epsilon >0\). In convex exponential families of distributions, it is shown that, for the maximum likelihood estimator \({\hat \theta}_ n\) of \(\theta\), g(\({\hat \theta}_ n)\) is inaccuracy rate optimal in the sense of g(\({\hat \theta}_ n)\) attaining the upper bound of \(e(\epsilon,\theta,T_ n)\) for consistent estimators of g(\(\theta)\). In the case when a family of distributions is not exponentially convex, inaccuracy rate optimal estimators do not usually exist. The optimality w.r.t. the inaccuracy rate is based on propositions by \textit{R. R. Bahadur}, \textit{S. L. Zabell} and \textit{J. C. Gupta} [Asymptotic theory of statistical tests and estimation, Proc. Int. Symp., Chapel Hill/NC 1979, 33-64 (1980; Zbl 0601.62037)] and \textit{R. R. Bahadur} [Recent advances in statistics, Pap. in Honor of H. Chernoff, 273-286 (1983; Zbl 0543.62064)]. In location parameter cases, the inaccuracy rate of M-estimators is determined, and an optimal M-estimator is given in the class of equivariant estimators. Tail-behaviour of location estimators is also discussed.
0 references
translation equivariance
0 references
large deviations
0 references
convex exponential families
0 references
maximum likelihood estimator
0 references
inaccuracy rate optimal
0 references
location parameter
0 references
M-estimators
0 references
equivariant estimators
0 references
Tail-behaviour
0 references