Location estimators and spread

DOI10.1214/AOS/1176346409MaRDI QIDQ799321zbMATH OpenOpenAlexFDO

Authors Chris A. J. Klaassen

Publication date 1984

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176346409

zbMATH Keywords

derivative of the logarithm of the densityefficiencymaximum likelihood estimatorminimax resultnonregular casesRao- Cramér inequalityspreadtranslation equivariant estimators of location

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12)

Review text

Restricting himself to translation equivariant estimators of location the author shows that the distribution of any of these estimators is more spread than a special distribution closely related to the distribution of the derivative of the logarithm of the density according to which the observations are assumed to be distributed. The Rao-Cramér inequality then follows as a consequence. Also some minimax result similar to Hájek's one and efficiency of MLE in some nonregular cases earlier studied by \textit{M. Woodroofe} [ibid. 2, 474-488 (1974; Zbl 0283.62030)] are discussed as corollaries to the main result of the paper.

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