Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency

zbMath0463.62026MaRDI QIDQ1153626

Publication date: 1981

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

maximum likelihood estimator asymptotic completeness Edgeworth expansion higher order asymptotic efficiency asymptotically median unbiased cn-consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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The general (nonnormal) case and the normal case ⋮ Differential geometry of Edgeworth expansions in curved exponential family ⋮ Second order asymptotic optimality of estimators for a density with finite cusps ⋮ Second order optimality for estimators in time series regression models ⋮ VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES ⋮ Asymptotic cumulants of the estimator of the canonical parameter in the exponential family ⋮ High order asymptotic expansion for Wiener functionals ⋮ Higher‐order asymptotics of minimax estimators for time series ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ Second-order robustness for time series inference ⋮ The bhattacharyya type bound foe the asymptotic variance and the sequential discretized likelihood estimation procedure ⋮ Unnamed Item ⋮ Higher order asymptotics in estimation for two-sided Weibull type distributions ⋮ Information amount and higher-order efficiency in estimation ⋮ Asymptotic optimality of estimators in non-regular cases ⋮ Unnamed Item ⋮ Entropy and divergence associated with power function and the statistical application ⋮ Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe ⋮ Efficient Estimation in Two-Sided Truncated Location Models ⋮ Statistical morphisms and related invariance properties ⋮ The 3/2th and 2nd order asymptotic efficiency of maximum probability estimators in non-regular cases ⋮ The Central Limit Theorem for LS Estimator in Simple Linear EV Regression Models ⋮ The First- and Second-Order Large-Deviation Efficiency for an Exponential Family and Certain Curved Exponential Models ⋮ Second-Order Power Comparison of Tests ⋮ Sequential Estimation Procedures for End Points of Support in a Non-Regular Distribution ⋮ Estimation in Nonparametric Regression with Non-Regular Errors ⋮ Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property ⋮ Convergence rate for LS estimator in simple linear EV regression models ⋮ Sequential Point Estimation of the Location Parameter in the Location-Scale Family of Non-Regular Distributions ⋮ Concentration inequality of maximum likelihood estimator ⋮ Malliavin calculus and martingale expansion ⋮ Asymptotic properties of computationally efficient alternative estimators for a class of multivariate normal models ⋮ Second-order properties of locally stationary processes ⋮ Limiting distributions for \(L_1\) regression estimators under general conditions ⋮ COMPARISON OF THE BAYES RISKS OF ESTIMATORS FOR A FAMILY OF TRUNCATED NORMAL DISTRIBUTIONS ⋮ Deviation Inequalities for the Estimator of Linear Parameter in Stochastic Processes ⋮ THIRD-ORDER ASYMPTOTIC PROPERTIES OF ESTIMATORS IN GAUSSIAN ARMA PROCESSES WITH UNKNOWN MEAN ⋮ A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics ⋮ Third order efficiency implies fourth order efficiency: A resolution of the conjecture of J. 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