A Cramér-Rao inequality for non-differentiable models

DOI10.1016/J.CRMA.2012.08.005zbMATH Open1336.62071arXiv1204.2763OpenAlexW2963712832MaRDI QIDQ456637FDOQ456637

Authors: Thibault Espinasse, Paul Rochet 

Publication date: 16 October 2012

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

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.

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

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Mathematics Subject Classification ID

Point estimation (62F10)

Cites Work

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

Cited In (8)

• Title not available (Why is that?)
• Cramér-Rao revisited
• Application of the Rao-Cramer inequality in problems of nonlinear estimation
• Title not available (Why is that?)
• A nonparametric asymptotic version of the Cramér-Rao bound
• The Cramér-Rao inequality on singular statistical models
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• Multivariate Cramér-Rao inequality for prediction and efficient predictors

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