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Maximal uniform convergence rates in parametric estimation problems

Beckert, Walter and McFadden, D.L. (2010) Maximal uniform convergence rates in parametric estimation problems. Econometric Theory 26 (2), pp. 469-500. ISSN 0266-4666.

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Official URL: http://dx.doi.org/10.1017/S0266466609100063

Abstract

This paper considers parametric estimation problems with independent, identically nonregularly distributed data. It focuses on rate efficiency, in the sense of maximal possible convergence rates of stochastically bounded estimators, as an optimality criterion, largely unexplored in parametric estimation. Under mild conditions, the Hellinger metric, defined on the space of parametric probability measures, is shown to be an essentially universally applicable tool to determine maximal possible convergence rates. These rates are shown to be attainable in general classes of parametric estimation problems.

Item Type: Article
Keyword(s) / Subject(s): parametric estimators, uniform convergence, Hellinger distance, Locally Asymptotically Quadratic (LAQ) Families
School or Research Centre: Birkbeck Schools and Research Centres > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
Depositing User: Administrator
Date Deposited: 08 Dec 2010 11:51
Last Modified: 24 Apr 2013 13:15
URI: http://eprints.bbk.ac.uk/id/eprint/2912

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