On attainable Cramèr-Rao type lower bounds for weighted loss functions (Q1113577)
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scientific article; zbMATH DE number 4082722
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On attainable Cramèr-Rao type lower bounds for weighted loss functions |
scientific article; zbMATH DE number 4082722 |
Statements
On attainable Cramèr-Rao type lower bounds for weighted loss functions (English)
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1988
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Let \(Y=(Y_ 1,...,Y_ n)\) be any random vector, with density \(f_ Y(y,\theta)\) where \(\theta \in \Theta \subset R^ 1\). Suppose that f is regular. Let \(g(Y)=-\partial^ 2\log f/\partial \theta^ 2\). An attainable lower bound for E \(g(Y)({\hat \theta}-\theta)^ 2\) is developed and an application to the first order autoregressive process is cited.
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optimality
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maximum likelihood estimators
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weighted quadratic loss
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efficiency
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lower bound
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first order autoregressive process
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