Large deviations of estimators (Q1082733): Difference between revisions
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Revision as of 03:07, 5 March 2024
scientific article
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English | Large deviations of estimators |
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Large deviations of estimators (English)
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1986
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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.
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translation equivariance
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large deviations
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convex exponential families
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maximum likelihood estimator
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inaccuracy rate optimal
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location parameter
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M-estimators
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equivariant estimators
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Tail-behaviour
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