The local asymptotic minimax adaptive property of a recursive estimate

DOI10.1016/0167-7152(88)90096-XMaRDI QIDQ1114255zbMATH OpenFDO

Authors Václav Fabian

Publication date 1988

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

Full work available at URL https://doi.org/10.1016/0167-7152(88)90096-X

zbMATH Keywords

adaptive estimateindependent and identically distributed generalized random variableslocally asymptotically minimaxlocally asymptotically normal estimation problemnonparametric generalizationrecursive estimate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Stochastic approximation (62L20)

Review text

A locally asymptotically normal estimation problem generated by independent and identically distributed generalized random variables is considered. A recursive estimate based on a stochastic approximation method, a modification of an estimate proposed by Sakrison [see the author's paper, Ann. Stat. 6, 854-866 (1978; Zbl 0378.62031)] is shown to be locally asymptotically minimax. For a nonparametric generalization of the estimation problem, a modification of the estimate is shown to be locally asymptotically minimax adaptive.

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Cited in

(4)

• Recursive estimation of minimum eigenvalues of information matrices
• Conditions of asymptotic efficiency of recursion estimates of the shift parameter
• Stochastic approximation of global minimum points
• Asymptotically efficient recursive estimation for incomplete data models using the observed information.

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