A Cramér-Rao inequality for non-differentiable models

DOI10.1016/J.CRMA.2012.08.005MaRDI QIDQ456637zbMATH OpenOpenAlexFDO

Authors Thibault Espinasse, Paul Rochet

Publication date 16 October 2012

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1204.2763

Mathematics Subject Classification ID

Point estimation (62F10)

Abstract: We compute a variance lower bound for unbiased estimators in specified statistical models. The construction of the bound is related to the original Cram'er-Rao bound, although it does not require the differentiability of the model. Moreover, we show our efficiency bound to be always greater than the Cram'er-Rao bound in smooth models, thus providing a sharper result.

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Cites work

• A characterization of limiting distributions of regular estimates
• A Cramér-Rao inequality for non-differentiable models
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Cited in

(9)

• Application of the Rao-Cramer inequality in problems of nonlinear estimation
• The Cramér-Rao inequality on singular statistical models
• Cramér-Rao revisited
• scientific article; zbMATH DE number 4213275 (Why is no real title available?)
• scientific article; zbMATH DE number 1048009 (Why is no real title available?)
• A Cramér-Rao inequality for non-differentiable models
• A nonparametric asymptotic version of the Cramér-Rao bound
• Multivariate Cramér-Rao inequality for prediction and efficient predictors
• Transition of -mixing in random iterations with applications in queuing theory

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