The statistical information contained in additional observations

DOI10.1214/AOS/1176349945MaRDI QIDQ1096265zbMATH OpenOpenAlexFDO

Authors Enno Mammen

Publication date 1986

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

Full work available at URL https://doi.org/10.1214/aos/1176349945

zbMATH Keywords

additional observationsasymptotically Gaussian experimentsBayes risksbinomial familyconstistent estimatesdeficiencygain of informationhomoscedastic Gaussian experimentinsufficiencyLeCam's randomization criterionpowers of an experimentpseudo-distance

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Theory of statistical experiments (62B15)

Review text

Within the setting of \textit{L. LeCam's} theory of comparison of experiments [Asymptotic methods in statistical decision theory. (1986; Zbl 0605.62002)] the pseudo-distance \(\Delta\) (\({\mathcal E}^ n,{\mathcal E}^{n+r_ n})\) between the powers of an experiment \({\mathcal E}\) defined by the measures \(P_{\theta}(\theta \in \Theta)\) are studied asymptotically as \(n\to \infty\). If \({\mathcal E}\) admits \(\sqrt{n}\)- constistent estimates, then \(\Delta\) (\({\mathcal E}^ n,{\mathcal E}^{n+r})\leq Cr/n\) for some constant \(C>0\). If \(\Theta \subset {\mathbb{R}}^ k\) and \({\mathcal E}\) can be locally approximated by a homoscedastic Gaussian experiment, then for \(r_ n=o(n)\) \textit{J. Helgeland}'s lower bound [Z. Wahrscheinlichkeitstheor. Verw. Geb. 59, 77-100 (1982; Zbl 0479.62006)] can be improved. Helgeland's upper bound turns out to be sharp. Tools for the proofs of the results are LeCam's randomization criterion for the deficiency \(\delta\) (\({\mathcal E},{\mathcal F})\) between experiments \({\mathcal E}\) and \({\mathcal F}\) and its representation in terms of the Bayes risks corresponding to \({\mathcal E}\) and \({\mathcal F}\), respectively.

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Cited in

(10)

• Asymptotic equivalence of density estimation and Gaussian white noise
• The Le Cam distance between density estimation, Poisson processes and Gaussian white noise
• The deficiency introduced by resampling
• Deficiency distance between multinomial and multivariate normal experiments
• Global sufficiency of extreme order statistics in location models of Weibull type
• A complement to Le Cam's theorem
• Distributional divergence, statistical experiments and consequences in option pricing
• Le Cam theory on the comparison of statistical models
• Information in additional observations of a non-parametric experiment that is not estimable
• Asymptotic equivalence of spectral density estimation and Gaussian white noise

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