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Zapiski Nauchnykh Seminarov POMI, 2023, Volume 525, Pages 71–85
(Mi znsl7368)
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Local asymptotic normality of likelihood ratio in moderate deviation zone
M. S. Ermakovab a Institute of Problems of Mechanical Engineering, Russian Academy of Sciences, St. Petersburg
b Saint Petersburg State University
Abstract:
For logarithmic asymptotic we show that local asymptotic normality can be extended on moderate deviation zone if the same assumptions hold. We show that strong asymptotic of moderate deviation probabilities can be also obtained with rather mild assumptions. The extension on moderate deviation zone of second Le Cam Lemma for contiguous alternatives is proposed as well.
Key words and phrases:
asymptotic efficiency, likelihood ratio, large deviations, moderate deviations.
Received: 05.10.2023
Citation:
M. S. Ermakov, “Local asymptotic normality of likelihood ratio in moderate deviation zone”, Probability and statistics. Part 34, Zap. Nauchn. Sem. POMI, 525, POMI, St. Petersburg, 2023, 71–85
Linking options:
https://www.mathnet.ru/eng/znsl7368 https://www.mathnet.ru/eng/znsl/v525/p71
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