Asymptotic linearity of minimax estimators

A.W. van der Vaart

Statistica Neerlandica, 1992, vol. 46, issue 2‐3, 179-194

Abstract: The celebrated local asymptotic minimax (LAM) theorem due to HÁjek (1972) also includes the statement that a LAM estimator Is necessarily asymptotically linear. A similar result. is true for semi‐parametric models, but Hájek's result doesn't apply to this case as the efficient influence function is often not contained in the (proper) tangent space. This note gives a simple, elementary proof of both the LAM theorem and the necessity of asymptotic linearity of a LAM estimator sequence.

Date: 1992
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