The Annals of Statistics

Large Deviations of Estimators

A. D. M. Kester and W. C. M. Kallenberg

Full-text: Open access

Abstract

The performance of a sequence of estimators $\{T_n\}$ of $g(\theta)$ can be measured by its inaccuracy rate $-\lim \inf_{n\rightarrow\infty} n^{-1} \log \mathbb{P}_\theta(\|T_n - g(\theta)\| > \varepsilon)$. For fixed $\varepsilon > 0$ optimality of consistent estimators $\operatorname{wrt}$ the inaccuracy rate is investigated. It is shown that for exponential families in standard representation with a convex parameter space the maximum likelihood estimator is optimal. If the parameter space is not convex, which occurs for instance in curved exponential families, in general no optimal estimator exists. For the location problem the inaccuracy rate of $M$-estimators is established. If the underlying density is sufficiently smooth an optimal $M$-estimator is obtained within the class of translation equivariant estimators. Tail-behaviour of location estimators is studied. A connection is made between gross error and inaccuracy rate optimality.

Article information

Source
Ann. Statist., Volume 14, Number 2 (1986), 648-664.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176349944

Digital Object Identifier
doi:10.1214/aos/1176349944

Mathematical Reviews number (MathSciNet)
MR840520

Zentralblatt MATH identifier
0603.62028

JSTOR
links.jstor.org

Subjects
Primary: 62F10: Point estimation
Secondary: 60F10: Large deviations

Keywords
Large deviations inaccuracy rate exponential convexity maximum likelihood estimator $M$-estimator translation equivariance tail-behaviour

Citation

Kester, A. D. M.; Kallenberg, W. C. M. Large Deviations of Estimators. Ann. Statist. 14 (1986), no. 2, 648--664. doi:10.1214/aos/1176349944. https://projecteuclid.org/euclid.aos/1176349944


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