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On the Asymptotic Properties of Minimum Contrast Estimates

In: Probability and Statistical Inference

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  • Wilfried Grossmann

    (University Vienna, Institut of Statistics)

Abstract

Let Xi be independent real valued random variables whose distribution depends on some unknown parameter θ. If one estimates θ by minimum contrast estimates then the contrast function induces a stochastic process similar to the log-likelihoodprocess. We study the asymptotic properties of this process and derive therefrom the asymptotic distribution of the corresponding estimates under the true distribution and under alternatives which fulfill some kind of contiguity property.

Suggested Citation

  • Wilfried Grossmann, 1982. "On the Asymptotic Properties of Minimum Contrast Estimates," Springer Books, in: Wilfried Grossmann & Georg Ch. Pflug & Wolfgang Wertz (ed.), Probability and Statistical Inference, pages 115-127, Springer.
    • Handle: RePEc:spr:sprchp:978-94-009-7840-9_12
    DOI: 10.1007/978-94-009-7840-9_12
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