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November, 1973 Asymptotic Expansions Related to Minimum Contrast Estimators
J. Pfanzagl
Ann. Statist. 1(6): 993-1026 (November, 1973). DOI: 10.1214/aos/1176342554


This paper contains an Edgeworth-type expansion for the distribution of a minimum contrast estimator, and expansions suitable for the computation of critical regions of prescribed error (type one) as well as confidence intervals of prescribed confidence coefficient. Furthermore, it is shown that, for one-sided alternatives, the test based on the maximum likelihood estimator as well as the test based on the derivative of the log-likelihood function is uniformly most powerful up to a term of order $O(n^{-1})$. Finally, an estimator is proposed which is median unbiased up to an error of order $O(n^{-1})$ and which is--within the class of all estimators with this property--maximally concentrated about the true parameter up to a term of order $O(n^{-1})$. The results of this paper refer to real parameters and to families of probability measures which are "continuous" in some appropriate sense (which excludes the common discrete distributions).


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J. Pfanzagl. "Asymptotic Expansions Related to Minimum Contrast Estimators." Ann. Statist. 1 (6) 993 - 1026, November, 1973.


Published: November, 1973
First available in Project Euclid: 12 April 2007

zbMATH: 0273.62015
MathSciNet: MR359151
Digital Object Identifier: 10.1214/aos/1176342554

Primary: 62E20
Secondary: 62F10

Keywords: asymptotic expansions , confidence intervals , maximum likelihood estimators , minimum contrast estimators , tests

Rights: Copyright © 1973 Institute of Mathematical Statistics


Vol.1 • No. 6 • November, 1973
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