On a Theorem of Bahadur on the Rate of Convergence of Point Estimators
Fu, James C.
Ann. Statist., Tome 1 (1973) no. 2, p. 745-749 / Harvested from Project Euclid
In this paper, we have proved a fundamental property of the characteristic function for the random variable $(\partial/\partial\theta) \log f(x \mid \theta)$. Based on this result, we have proved under regularity conditions different from Bahadur's that certain classes of consistent estimators $\{\theta_n^\ast\}$ are asymptotically efficient in Bahadur's sense $\lim_{\varepsilon \rightarrow 0} \lim_{n \rightarrow \infty} \frac{1}{n\varepsilon^2} \log P\theta\{|\theta_n^\ast - \theta| \geqq \varepsilon\} = -\frac{I(\theta)}{2}.$ Our proof also gives a simple and direct method to verify Bahadur's [2] result.
Publié le : 1973-07-14
Classification: 
@article{1176342469,
     author = {Fu, James C.},
     title = {On a Theorem of Bahadur on the Rate of Convergence of Point Estimators},
     journal = {Ann. Statist.},
     volume = {1},
     number = {2},
     year = {1973},
     pages = { 745-749},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176342469}
}
Fu, James C. On a Theorem of Bahadur on the Rate of Convergence of Point Estimators. Ann. Statist., Tome 1 (1973) no. 2, pp.  745-749. http://gdmltest.u-ga.fr/item/1176342469/