On the last time and the number of times an estimator is more than \(\epsilon\) from its target value

DOI10.1214/aos/1176348533zbMath0759.62014OpenAlexW2093001976MaRDI QIDQ1192984

Nils Lid Hjort, Grete Fenstad

Publication date: 27 September 1992

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348533

zbMATH Keywords

asymptotic relative efficiencydensity estimationlimit distributionsasymptotic optimalityempirical distributionsequential testsstrongly consistent estimatorGlivenko-Cantellisupremum distancemultidimensional parametersgeneral distance functionslast \(n\)maximum likelihood estimator sequencenumber of epsilon- missessequential confidence regionstests with power 1

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Sequential statistical analysis (62L10)

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