BIROn - Birkbeck Institutional Research Online

    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.

    Text (Post-print (refereed))

    Download (573kB) | Preview


    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centres and Institutes: Commodities Finance Centre
    Depositing User: Administrator
    Date Deposited: 08 Dec 2010 11:51
    Last Modified: 11 Jun 2021 11:25


    Activity Overview

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item