Delta method in large deviations and moderate deviations for estimators

DOI10.1214/10-AOS865zbMATH Open1216.62027arXiv1105.3552MaRDI QIDQ548555FDOQ548555

Fuqing Gao, Xingqiu Zhao

Publication date: 29 June 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: The delta method is a popular and elementary tool for deriving limiting distributions of transformed statistics, while applications of asymptotic distributions do not allow one to obtain desirable accuracy of approximation for tail probabilities. The large and moderate deviation theory can achieve this goal. Motivated by the delta method in weak convergence, a general delta method in large deviations is proposed. The new method can be widely applied to driving the moderate deviations of estimators and is illustrated by examples including the Wilcoxon statistic, the Kaplan--Meier estimator, the empirical quantile processes and the empirical copula function. We also improve the existing moderate deviations results for $M$-estimators and $L$-statistics by the new method. Some applications of moderate deviations to statistical hypothesis testing are provided.

Full work available at URL: https://arxiv.org/abs/1105.3552

zbMATH Keywords

Kaplan-Meier estimator\(M\)-estimator\(L\)-statistics

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Large deviations (60F10) Asymptotic distribution theory in statistics (62E20)

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Cited In (62)

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