Adaptive Maximum Likelihood Estimators of a Location Parameter
Stone, Charles J.
Ann. Statist., Tome 3 (1975) no. 1, p. 267-284 / Harvested from Project Euclid
Consider estimators $\hat{\theta}_n$ of the location parameter $\theta$ based on a sample of size $n$ from $\theta + X$, where the random variable $X$ has an unknown distribution $F$ which is symmetric about the origin but otherwise arbitrary. Let $\mathscr{F}$ denote the Fisher information on $\theta$ contained in $\theta + X$. We show that there is a nonrandomized translation and scale invariant adaptive maximum likelihood estimator $\hat{\theta}_n$ of $\theta$ which doe not depend on $F$ such that $\mathscr{L}(n^{\frac{1}{2}}(\hat{\theta}_n - \theta)) \rightarrow N(0, 1/\mathscr{J})$ as $n \rightarrow \infty$ for all symmetric $F$.
Publié le : 1975-03-14
Classification:  Location parameter,  adaptive estimators,  62F10,  62G35
@article{1176343056,
     author = {Stone, Charles J.},
     title = {Adaptive Maximum Likelihood Estimators of a Location Parameter},
     journal = {Ann. Statist.},
     volume = {3},
     number = {1},
     year = {1975},
     pages = { 267-284},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343056}
}
Stone, Charles J. Adaptive Maximum Likelihood Estimators of a Location Parameter. Ann. Statist., Tome 3 (1975) no. 1, pp.  267-284. http://gdmltest.u-ga.fr/item/1176343056/