A note on the interpretation of the Bahadur bound and the rate of convergence of the maximum likelihood estimator

DOI10.1016/0167-7152(84)90063-4MaRDI QIDQ1079899zbMATH OpenOpenAlexFDO

Authors James C. Fu, Robert E. Kass

Publication date 1984

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(84)90063-4

zbMATH Keywords

Bahadur boundintrinsic curvatureleast-squares estimatormaximum likelihood estimatorrate of convergencestatistical curvaturetwo-point one-parameter exponential model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) General nonlinear regression (62J02)

Review text

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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Cites work

• Defining the curvature of a statistical problem (with applications to second order efficiency)
• Differential geometry of curved exponential families. Curvatures and information loss
• scientific article; zbMATH DE number 3864289 (Why is no real title available?)
• scientific article; zbMATH DE number 3713001 (Why is no real title available?)
• scientific article; zbMATH DE number 3406955 (Why is no real title available?)
• Large sample point estimation: A large deviation theory approach

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