On attainable Cramèr-Rao type lower bounds for weighted loss functions
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.
scientific article; zbMATH DE number 4082722