Asymptotic minimax results for stochastic process families with critical points

DOI10.1016/0304-4149(93)90040-BzbMath0783.62064MaRDI QIDQ1208935

Prescilla E. Greenwood, Wolfgang Wefelmeyer

Publication date: 16 May 1993

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

critical pointsstationaryAR(1) processesexplosiverandom Fisher informationlocal quadratic approximationstochastic process modelsfiltered modelslocal asymptotic minimax boundslocally quadratic likelihoodmixed normal caserandomly normalized estimatorstime-changed estimator processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Minimax procedures in statistical decision theory (62C20)

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