Application of the delta method to functions of the sample mean when observations are dependent

DOI10.1007/S00362-015-0734-7MaRDI QIDQ1685282zbMATH OpenOpenAlexFDO

Publication date 13 December 2017

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-015-0734-7

asymptotic expansion of moments delta method dependent observations sample mean weak law of large numbers

Functional limit theorems; invariance principles (60F17) (L^p)-limit theorems (60F25) Sampling theory, sample surveys (62D05) Approximations to statistical distributions (nonasymptotic) (62E17) Nonparametric estimation (62G05) Reliability and life testing (62N05)

Review text

Let \(X_i\), \(i = 1,2,\dots\), be a sequence of real valued random variables with the same mean \(\mu\). A general technique applicable in nonparametric inference for estimating a known function \(f(\mu)\) is to substitute \(X_n'=(\sum_{i=1}^n X_i)/n\) for \(\mu\). The well-known `delta method' is used to examine the asymptotic behavior of the variance of \(f(X_n')\) when \(f\) is differentiable at \(\mu\). In this paper, the authors show that the asymptotic expansions for bias and variance are still possible even if the boundedness conditions are replaced by weaker conditions on \(f\) as well as when observations are not independent. Furthermore, the authors demonstrate the technique for the problems of estimation of \(|\mu|^r\) for some positive real exponent \(r\), reciprocal \(1/\mu\) as in the case of rate of replacement when \(X_i\) are lifetimes in service with mean \(\mu\) and exponential functions like \(e^\mu\) and hint at further generalizations.

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