A characterization of translation-invariant experiments admitting adaptive estimates

Georg Ch. Pflug and Wilfried Grossmann

Journal of Multivariate Analysis, 1988, vol. 24, issue 2, 237-251

Abstract: Statistical experiments possess the property of adaptivity, if the ignorance of a nuisance parameter does not cause any loss in efficiency. In order to include a large variety of cases, the efficiency is measured in terms of minimax bounds. It is shown that a necessary and sufficient condition for adaptivity of translation invariant experiments is that the parameter of interest and the nuisance parameter are a.s. independent w.r.t. the posterior distributions.

Keywords: adaptivity; minimax; bounds; Pitman; estimates; semi-parametric; models (search for similar items in EconPapers)
Date: 1988
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