Optimal Estimation Under Nonstandard Conditions
نویسندگان
چکیده
منابع مشابه
Optimal Estimation under Nonstandard Conditions
We analyze optimality properties of maximum likelihood (ML) and other estimators when the problem does not necessarily fall within the locally asymptotically normal (LAN) class, therefore covering cases that are excluded from conventional LAN theory such as unit root nonstationary time series. The classical Hájek–Le Camoptimality theory is adapted to cover this situation.We show that the expect...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1536543