On attainable Cramèr-Rao type lower bounds for weighted loss functions
type: Item
instance of: scholarly article
title: On attainable Cramèr-Rao type lower bounds for weighted loss functions
zbMATH Open document ID: 0662.62026
DOI: 10.1016/0167-7152(88)90077-6
author: Piotr W. Mikulski
author: Michael J. Monsour
published in: Statistics \& Probability Letters
publication date: 1988-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 4082722
zbMATH Keywords: optimality
zbMATH Keywords: maximum likelihood estimators
zbMATH Keywords: weighted quadratic loss
zbMATH Keywords: efficiency
zbMATH Keywords: lower bound
zbMATH Keywords: first order autoregressive process
MaRDI profile type: Publication
full work available at URL: 0167-7152(88)90077-6
OpenAlex ID: W1992063067
cites work: The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
description: scientific article; zbMATH DE number 4082722