- Optimizing lengths of confidence intervals: fourth-order efficiency in location models
- Communications in Statistics: Theory and Methods
- Volume | Issue number
- 39 | 8&9
- Pages (from-to)
- Document type
- Faculty of Science (FNWI)
- Korteweg-de Vries Institute for Mathematics (KdVI)
Under regularity conditions the maximum likelihood estimator of the location parameter in a location model is asymptotically efficient among translation equivariant estimators. Additional regularity conditions warrant third- and even fourth-order efficiency, in the sense that no translation equivariant estimator will yield shorter confidence intervals than the maximum likelihood estimator. Unlike the literature on this issue, the present article does not exclude estimators from competition by assuming them to have a stochastic expansion of certain type. This is achieved by establishing a bound on the performance of all translation equivariant estimators, namely via our so-called confidence interval inequality.
- go to publisher's site
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.