Semiparametrically efficient estimation of Euclidean parameters under equality constraints

DOI10.1016/J.JSPI.2018.12.005MaRDI QIDQ2317299zbMATH OpenOpenAlexWikidataFDO

Authors Chris A. J. Klaassen, Nanang Susyanto

Publication date 9 August 2019

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.07749, https://pure.uva.nl/ws/files/38831966/Semiparametrically_efficient_estimation_of_Euclidean_parameters.pdf

zbMATH Keywords

semiparametric estimationefficient estimatorequality restrictionsfunctional equalitysemiparametric submodels

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Parametric inference under constraints (62F30)

Abstract: Assume a (semi)parametrically efficient estimator is given of the Euclidean parameter in a (semi)parametric model. A submodel is obtained by constraining this model in that a continuously differentiable function of the Euclidean parameter vanishes. We present an explicit method to construct (semi)parametrically efficient estimators of the Euclidean parameter in such equality constrained submodels and prove their efficiency. Our construction is based solely on the original efficient estimator and the constraining function. Only the parametric case of this estimation problem and a nonparametric version of it have been considered in literature.

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Cited in

(4)

• Estimators for models with constraints involving unknown parameters
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• Estimation under inequality constraints: semiparametric estimation of conditional duration models
• Efficient estimation of Banach parameters in semiparametric models

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