Second-order asymptotics for the number of times an estimator is more than \(\varepsilon\) from its target value

DOI10.1016/0378-3758(95)00008-WzbMath0839.62017OpenAlexW2036281770MaRDI QIDQ1907663

Nils Lid Hjort, Grete Fenstad

Publication date: 23 June 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(95)00008-w

zbMATH Keywords

Brownian motionloss functionasymptotic relative efficiencyexponential distributionslimit distributionssecond-order asymptoticssecond-order optimalityasymptotic relative deficiencycomparison of estimatorsnumber of epsilon-missestotal relative time

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15)

Related Items (4)

Second-order asymptotics for the number of times an estimator is more than \(\varepsilon\) from its target value ⋮ On the time a diffusion process spends along a line ⋮ On the errors committed by sequences of estimator functionals ⋮ Last passage time for the empirical mean of some mixing processes

Cites Work

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• On the time a diffusion process spends along a line
• Edgeworth series for lattice distributions
• Minimum chi-square, not maximum likelihood!
• On the last time and the number of times an estimator is more than \(\epsilon\) from its target value
• Second-order asymptotics for the number of times an estimator is more than \(\varepsilon\) from its target value
• Asymptotic expansions related to minimum contrast estimators
• Deficiency

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