A note on the interpretation of the Bahadur bound and the rate of convergence of the maximum likelihood estimator (Q1079899)
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English | A note on the interpretation of the Bahadur bound and the rate of convergence of the maximum likelihood estimator |
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A note on the interpretation of the Bahadur bound and the rate of convergence of the maximum likelihood estimator (English)
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1984
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Some interpretation of the Bahadur bound and the rate of convergence of the maximum likelihood estimator is provided using a theorem of the first author [Ann. Stat. 10, 762-771 (1982; Zbl 0489.62031)] and the geometrical methods discussed by the second author [J. R. Stat. Soc., Ser. B 46, 86-92 (1984; Zbl 0543.62024)]. We focus on replicated nonlinear regression and show that, in the sense of rate of convergence of the least-squares estimator in a small neighborhood of the true model, the most important characteristic that distinguishes one family of models from another is its statistical curvature which is a multiple of the 'intrinsic curvature' of \textit{D. M. Bates} and \textit{D. G. Watts} [ibid. 42, 1-25 (1980; Zbl 0455.62028)].
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two-point one-parameter exponential model
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Bahadur bound
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rate of convergence
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maximum likelihood estimator
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least-squares estimator
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statistical curvature
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intrinsic curvature
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