MAXIMAL UNIFORM CONVERGENCE RATES IN PARAMETRIC ESTIMATION PROBLEMS

B-Tier
Journal: Econometric Theory
Year: 2010
Volume: 26
Issue: 2
Pages: 469-500

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper considers parametric estimation problems with independent, identically nonregularly distributed data. It focuses on rate efficiency, in the sense of maximal possible convergence rates of stochastically bounded estimators, as an optimality criterion, largely unexplored in parametric estimation. Under mild conditions, the Hellinger metric, defined on the space of parametric probability measures, is shown to be an essentially universally applicable tool to determine maximal possible convergence rates. These rates are shown to be attainable in general classes of parametric estimation problems.

Technical Details

RePEc Handle
repec:cup:etheor:v:26:y:2010:i:02:p:469-500_10
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-24