Achieving information bounds in non and semiparametric models
If a parametric model \({\mathbb{P}}=\{P_{(\theta,\eta)}:\theta\in R\), \(\eta \in R^ m\}\) for a random variable X with a \(\mu\)-density \(p(x)=[dP_{(\theta,\eta)}/d\mu](x)=p_{(\theta,\eta)}(x)\) is regular in some sense, then \(\theta\) can be estimated at the rate \(n^{-1/2}\) with smallest asymptotic variance \(I^{11}(\theta,\eta)\) given by the first element of the inverse of Fisher's information matrix I(\(\theta\),\(\eta\)). In non or semi-parametric cases, this bound may be totally misleading even if \(I>0\). In fact, two examples are given where no estimators converge at a rate \(n^{-\alpha}\) for any \(\alpha >0:\) (1) Estimation of the integral \(\theta (p)=\int p^ 2(x)d\mu (x)\). (2) Estimation of \(\theta\) in the model \(Y=\theta W+t(Z)+\epsilon\) considered by \textit{R. F. Engle}, \textit{C. W. J. Granger}, \textit{R. Rice} and \textit{A. Weiss} [J. Am. Stat. Assoc. 81, 310-320 (1986)] with \(\epsilon \sim N(0,\sigma^ 2).\) The proofs proceed by a Bayesian construction of suitable estimators for p(\(\cdot)\), \(\theta\), t(\(\cdot)\), respectively. A positive result is obtained for the semiparametric model \({\mathbb{P}}=\cup^{\infty}_{m=0}{\mathbb{P}}_ m\) with nice regular families \({\mathbb{P}}_ m=\{P_{(\theta,\eta^ m)}:\theta\in \Theta\), \(\eta^ m=(\eta_ 1,...,\eta_{d(m)})\}\) where \({\mathbb{P}}_ m\subseteq {\mathbb{P}}_{m+1}\) and the dimension d(m) is generally increasing: Conditions are given for which the lower information bound of the form \[ I^{-1}(P_ 0,\theta)=\| 4^{-1}(\dot s_ 1-\prod (\dot s_ 1| {\dot \zeta}_ 2(\theta_ 0,\eta^ m_ 0))\|^{-2} \] is achieved at a given \(P_ 0=(\theta_ 0,\eta^ m_ 0)\) (with \(\|\) the \(L_ 2\)-norm, \(\prod\) the projection operator in \(L_ 2\), \(\dot s_ 1\) the first element of the Fréchet derivative of \(s(\theta,\eta)=p^{1/2}_{(\theta,\eta)}\) etc.).
- Large deviations and estimation in infinite-dimensional models
- Root-\(n\)-consistent and efficient estimation in semiparametric additive regression models
- Some efficiency bounds for semiparametric discrete choice models
- Efficient and adaptive post-model-selection estimators
- Nonparametric estimators for Markov step processes
- Semiparametric inference in a partial linear model
- On methods of sieves and penalization
- Estimating nonquadratic functionals of a density using Haar wavelets
- Consistent estimation of mixture complexity.
- Estimators of integrals of powers of density derivatives
- A two-stage rank test using density estimation
- A difference based approach to the semiparametric partial linear model
- Variable length Markov chains
- On local uniformity for estimators and confidence limits
- Partial functional linear regression
- Non-parametric lower bounds and information functions
- Semi-functional partial linear regression
- Estimating Spiking Irregularities Under Changing Environments
- Efficient estimation in a nonlinear counting-process regression model
- Root-n-consistent semiparametric estimation of partially linear models for weakly dependent observations
- Jackknife Estimation for Smooth Functions of the Parametric Component in Partially Linear Regression Models
- Semiparametric estimation of a functional of the drift coefficient for a non-homogeneous dynamical system with small noise
- Estimation of Entropy and Mutual Information
- Adaptive estimation of the threshold point in threshold regression
- AVERAGE DENSITY ESTIMATORS: EFFICIENCY AND BOOTSTRAP CONSISTENCY
- SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION
- Semiparametric estimation of a functional of the drift coefficient of a dynamical system with small noise
- Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors
- Adaptive quadratic functional estimation of a weighted density by model selection
- A simplified approach to computing efficiency bounds in semiparametric models
- Interactive versus noninteractive locally differentially private estimation: two elbows for the quadratic functional
- Some developments in semiparametric statistics
- From the early days of the semiparametric field: a conversation with Ya'acov Ritov
- Root- estimability of some missing data models
- Nonquadratic estimators of a quadratic functional
- Information bounds for inverse problems with application to deconvolution and Lévy models
This page was built for publication: Achieving information bounds in non and semiparametric models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q756324)
