A third-order optimum property of the maximum likelihood estimator

DOI10.1016/0047-259X(78)90016-7zbMath0376.62019MaRDI QIDQ1245541

Johann Pfanzagl, Wolfgang Wefelmeyer

Publication date: 1978

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Complete class results in statistical decision theory (62C07)

Related Items (32)

Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes ⋮ Nearly-singular design in GMM and generalized empirical likelihood estimators ⋮ Second order asymptotic optimality of estimators for a density with finite cusps ⋮ The second-order bias and mean squared error of nonlinear estimators ⋮ A James-Stein-type adjustment to bias correction in fixed effects panel models ⋮ Second-order asymptotic theory for calibration estimators in sampling and missing-data problems ⋮ Asymptotic optimality of the generalized Bayes estimator in multiparameter cases ⋮ Discretized likelihood methods. Asymptotic properties of discretized likelihood estimators (DLE's) ⋮ Brunn-Minkowski inequality and its aftermath ⋮ Second-order optimality of randomized estimation and test procedures ⋮ Higher order asymptotics in estimation for two-sided Weibull type distributions ⋮ Information amount and higher-order efficiency in estimation ⋮ Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects ⋮ Asymptotic optimality of estimators in non-regular cases ⋮ The Third-Order Bias of Nonlinear Estimators ⋮ Finite Sample Properties of the Two-Step Empirical Likelihood Estimator ⋮ Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions ⋮ On multinomial parametric estimation ⋮ The 3/2th and 2nd order asymptotic efficiency of maximum probability estimators in non-regular cases ⋮ The Professional Career and Contributions of Professor Masafumi Akahira ⋮ An asymptotically complete class of tests ⋮ Efficient M-estimators with auxiliary information ⋮ Point estimation with exponentially tilted empirical likelihood ⋮ Addendum to ``A third-order optimum property of the maximum likelihood estimator ⋮ A third order optimum property of the ML estimator in a linear functional relationship model and simultaneous equation system in econometrics ⋮ Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations ⋮ More higher-order efficiency: Concentration probability ⋮ Edgeworth expansions for GEL estimators ⋮ Third-order optimum properties of estimator-sequences ⋮ The maximum likelihood prior ⋮ A third order asymptotic comparison of least squares, jack-knifing and cross-validation for error variance estimation in nonlinear regression ⋮ Saddlepoint expansions for GEL estimators

Cites Work

• Second order efficiency of the MLE with respect to any bounded bowl- shaped loss function
• Correction to: On the validity of the formal Edgeworth expansion
• An asymptotic expansion for the distribution of asymptotic maximum likelihood estimators of vector parameters
• Defining the curvature of a statistical problem (with applications to second order efficiency)
• Multivariate unimodality
• Asymptotic efficiency of the maximum likelihood estimator
• Der zentralsymmetrische Kern und die zentralsymmetrische Hülle von konvexen Körpern
• A Theorem on Convex Sets with Applications
• An Asymptotic Expansion for a Class of Estimators Containing Maximum Likelihood Estimators
• Asymptotic Expansions Associated with Some Statistical Estimators in the Smooth Case. 1. Expansions of Random Variables
• Asymptotic expansions in the central limit theorem under moment conditions
• An asymptotically complete class of tests
• Deficiencies of minimum discrepancy estimators
• Improved Bounds for Equivalence of Bayes and Maximum Likelihood Estimation
• Asymptotic Expansions Associated with Some Statistical Estimators in the Smooth Case. II. Expansions of Moments and Distributions
• A characterization of limiting distributions of regular estimates
• On Fisher's Bound for Asymptotic Variances
• A General Concept of Unbiasedness
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