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Teoriya Veroyatnostei i ee Primeneniya, 1995, Volume 40, Issue 2, Pages 286–300
(Mi tvp3477)
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This article is cited in 12 scientific papers (total in 12 papers)
On asymptotic optimality of estimators of parameters under the LAQ condition
A. A. Gushchin Steklov Mathematical Institute, Russian Academy of Sciences
Abstract:
In this paper we consider the problem of asymptotic optimality of estimators of parameters under the local asymptotic quadratic condition. It is shown that if the deviation of estimators from the true value is normed by a specially chosen random factor, then the so-called asymptotically centered estimators are asymptotically admissible for the quadratic loss function and have the smallest asymptotic variance among estimators with an asymptotically constant bias.
Keywords:
local asymptotic quadratic property, local asymptotic normality, local asymptotic mixed normality, asymptotically centered estimators, Cramér–Rao inequality, Ornstein–Uhlenbeck process, autoregressive process, Galton–Watson branching process.
Received: 03.09.1993
Citation:
A. A. Gushchin, “On asymptotic optimality of estimators of parameters under the LAQ condition”, Teor. Veroyatnost. i Primenen., 40:2 (1995), 286–300; Theory Probab. Appl., 40:2 (1995), 261–272
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Abstract page: | 254 | Full-text PDF : | 74 | First page: | 8 |
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