Maximal Uniform Convergence Rates in Parametric Estimation Problems
This paper considers parametric estimation problems with i.i.d. data. It focusses 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.
|Date of creation:||Nov 2004|
|Contact details of provider:|| Postal: Malet Street, London WC1E 7HX, UK|
Phone: 44-20- 76316429
Fax: 44-20- 76316416
Web page: http://www.ems.bbk.ac.uk/
|Order Information:|| Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bruce E. Hansen, 2000.
"Sample Splitting and Threshold Estimation,"
Econometric Society, vol. 68(3), pages 575-604, May.
- Bruce E. Hansen, 1996. "Sample Splitting and Threshold Estimation," Boston College Working Papers in Economics 319., Boston College Department of Economics, revised 12 May 1998.
- Newey, Whitney K, 1991. "Uniform Convergence in Probability and Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 59(4), pages 1161-1167, July.
- Newey, W.K., 1989. "Uniform Convergence In Probability And Stochastic Equicontinuity," Papers 342, Princeton, Department of Economics - Econometric Research Program.
- Klein, Roger W & Spady, Richard H, 1993. "An Efficient Semiparametric Estimator for Binary Response Models," Econometrica, Econometric Society, vol. 61(2), pages 387-421, March.
- Klein, R.W. & Spady, R.H., 1991. "An Efficient Semiparametric Estimator for Binary Response Models," Papers 70, Bell Communications - Economic Research Group.
- repec:cup:etheor:v:9:y:1993:i:1:p:1-18 is not listed on IDEAS
- Harry J. Paarsch, 1994. "A Comparison of Estimators for Empirical Models of Auctions," Annals of Economics and Statistics, GENES, issue 34, pages 115-141.
- Paarsch, H.J., 1992. "A Comparison of estimators for Empirical Models of Auction," UWO Department of Economics Working Papers 9210, University of Western Ontario, Department of Economics.
- Horowitz, Joel L., 1993. "Optimal Rates of Convergence of Parameter Estimators in the Binary Response Model with Weak Distributional Assumptions," Econometric Theory, Cambridge University Press, vol. 9(01), pages 1-18, January. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:bbk:bbkefp:0405. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.