Two non-regular extensions of large deviation bound

DOI10.1080/03610920802460761MaRDI QIDQ3585246zbMATH OpenOpenAlexFDO

Authors Masahito Hayashi

Publication date 19 August 2010

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0604197

zbMATH Keywords

large deviationinterval estimationpoint estimationnon-regular familyrelative Rényi entropy

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Large deviations (60F10) Parametric tolerance and confidence regions (62F25)

Abstract: We formulate two types of extensions of the large deviation theory initiated by Bahadur in a non-regular setting. One can be regarded as a bound of the point estimation, the other can be regarded as the limit of a bound of the interval estimation. Both coincide in the regular case, but do not necessarily coincide in a non-regular case. Using the limits of relative R'{e}nyi entropies, we derive their upper bounds and give a necessary and sufficient condition for the coincidence of the two upper bounds. We also discuss the attainability of these two bounds in several non-regular location shift families.

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Cites work

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Cited in

(3)

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• Limiting behavior of relative Rényi entropy in a non-regular location shift family

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