Large deviations and estimation in infinite-dimensional models
Consider a random sample from a statistical model with an unknown, and possibly infinite-dimensional, parameter - e.g., a nonparametric or semiparametric model - and a real-valued functional T of this parameter which is to be estimated. The objective is to develop bounds on the (negative) exponential rate at which consistent estimates converge in probability to T, or, equivalently, lower bounds for the asymptotic effective standard deviation of such estimates - that is, to extend work of \textit{R. R. Bahadur} [see Ann. Math. Stat. 38, 303-324 (1967; Zbl 0201.521) and ``Some limit theorems in statistics. (1971; Zbl 0257.62015)] from parametric models to more general (semiparametric and nonparametric) models. The approach is to define a finite-dimensional submodel, determine Bahadur bounds for a finite-dimensional model, and then `sup' or `inf' the bounds with respect to ways of defining the submodels; this can be constructed as a `directional approach', the submodels being in a specified `direction' from a specific model. Extension is made to the estimation of vector-valued and infinite-dimensional functionals T, by expressing consistency in terms of a distance, or, alternatively, by treating classes of real functionals of T. Several examples are presented.
- On maximum likelihood estimation in infinite dimensional parameter spaces
- scientific article; zbMATH DE number 192974
- Some functional large deviations principles in nonparametric function estimation
- scientific article; zbMATH DE number 868189
- Achieving information bounds in non and semiparametric models
- A characterization of limiting distributions of estimators in an autoregressive process
- Asymptotic minimax theorems for the sample distribution function
- Asymptotic optimality of the product limit estimator
- Contributions to a general asymptotic statistical theory. With the assistance of W. Wefelmeyer
- Estimating a distribution function
- scientific article; zbMATH DE number 3628234 (Why is no real title available?)
- scientific article; zbMATH DE number 3441440 (Why is no real title available?)
- scientific article; zbMATH DE number 3426635 (Why is no real title available?)
- scientific article; zbMATH DE number 3406955 (Why is no real title available?)
- Information and asymptotic efficiency in parametric-nonparametric models
- Large sample point estimation: A large deviation theory approach
- On a Non-Parametric Analogue of the Information Matrix
- On a theorem of Bahadur on the rate of convergence of point estimators
- On adaptive estimation
- On the Efficiency of a Class of Non-Parametric Estimates
- Rates of Convergence of Estimates and Test Statistics
- Robust location estimates
- The rate of convergence of consistent point estimators
- On large-deviation efficiency in statistical inference
- Mathematical Foundations of Infinite-Dimensional Statistical Models
- Statistical inference for infinite-dimensional parameters via asymptotically pivotal estimating functions
- On maximum likelihood estimation in infinite dimensional parameter spaces
- Statistical inference of minimum BD estimators and classifiers for varying-dimensional models
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