A remark on semiparametric models (Q1822425)
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English | A remark on semiparametric models |
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A remark on semiparametric models (English)
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1986
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Consider a semiparametric model (X,A,\({\mathcal P})\) with interesting Euclidean parameter \(\kappa\) : \({\mathcal P}\to R_ k\) to be estimated. Assume that \({\mathcal P}\) is a differentiable family of mutually absolutely continuous probability measures and the parameter \(\kappa\) is a functional on \({\mathcal P}\). Further, \({\mathcal P}_ 0\subseteq {\mathcal P}\) is a subfamily for which the canonical gradient of \(\kappa\) is known. The paper presents a condition on the gradient of the functional under which the bound for asymptotic variance of \(\kappa\) (P) for \(P\in {\mathcal P}_ 0\) is the same as the one for the entire class \({\mathcal P}\).
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tangent space
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minimum distance estimator
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adaptation
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lower bound
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semiparametric model
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differentiable family of mutually absolutely continuous probability measures
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functional
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canonical gradient
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asymptotic variance
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