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Teoriya Veroyatnostei i ee Primeneniya, 1980, Volume 25, Issue 1, Pages 30–43 (Mi tvp952)  

This article is cited in 7 scientific papers (total in 7 papers)

On sequential estimation under the conditions of the local asymptotic normality

S. Yu. Efroĭmovič

Moscow
Full-text PDF (844 kB) Citations (7)
Abstract: Let $\mathscr E_n=\{\mathbf P_{n,\theta};\theta\in\Theta\}$ be a sequence of families of probability measures and $l(x)$ be a loss function such that $l(x)=l(-x)$, $l(x)\ge l(z)$ if $|x|\ge|z|$,
$$ \psi(\mu)=\int l(x/\mu)e^{-x^2/2}\,dx<\infty\qquad\text{and}\qquad\psi(\mu)\to 0,\quad \mu\to\infty. $$

Theorem 1. {\it Let $\mathscr E_n$ be locally asymptotically normal at the point $t\in\Theta$ and $(\{T_m^{(n)}\},\tau_n)$ be a sequence of sequential estimation procedures. Then for arbitrary positive constants $\gamma$, $\varepsilon$, $\delta$ there exist $b_0(\gamma,\varepsilon,\delta)$ and $n_0(\gamma,\varepsilon,\delta,b)$ such that for $b\ge b_0(\gamma,\varepsilon,\delta)$ and $n\ge n_0(\gamma,\varepsilon,\delta,b)$ inequality (2) is valid.}
As a consequence of this theorem we show that if $\tilde l(1/\mu)$ is convex function of $\mu$ and (3) holds, then the inequality (4) is valid. Asymptotical normality and local asymptotical minimax properties of maximum likelihood, Bayes and generalized Bayes estimates are established.
Received: 14.07.1977
English version:
Theory of Probability and its Applications, 1980, Volume 25, Issue 1, Pages 27–40
DOI: https://doi.org/10.1137/1125003
Bibliographic databases:
Language: Russian
Citation: S. Yu. Efroǐmovič, “On sequential estimation under the conditions of the local asymptotic normality”, Teor. Veroyatnost. i Primenen., 25:1 (1980), 30–43; Theory Probab. Appl., 25:1 (1980), 27–40
Citation in format AMSBIB
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\by S.~Yu.~Efro{\v\i}movi{\v{c}}
\paper On sequential estimation under the conditions of the local asymptotic normality
\jour Teor. Veroyatnost. i Primenen.
\yr 1980
\vol 25
\issue 1
\pages 30--43
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\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=560055}
\zmath{https://zbmath.org/?q=an:0467.62072|0424.62056}
\transl
\jour Theory Probab. Appl.
\yr 1980
\vol 25
\issue 1
\pages 27--40
\crossref{https://doi.org/10.1137/1125003}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=A1980LG24200003}
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  • https://www.mathnet.ru/eng/tvp/v25/i1/p30
  • This publication is cited in the following 7 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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