کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096465 | 1376529 | 2012 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal estimation under nonstandard conditions
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
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 Cam optimality theory is adapted to cover this situation. We show that the expectation of certain monotone “bowl-shaped” functions of the squared estimation error are minimized by the ML estimator in locally asymptotically quadratic situations, which often occur in nonstationary time series analysis when the LAN property fails. Moreover, we demonstrate a direct connection between the (Bayesian property of) asymptotic normality of the posterior and the classical optimality properties of ML estimators.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 169, Issue 2, August 2012, Pages 258-265
Journal: Journal of Econometrics - Volume 169, Issue 2, August 2012, Pages 258-265
نویسندگان
Werner Ploberger, Peter C.B. Phillips,