The local asymptotic minimax adaptive property of a recursive estimate

Václav Fabian

Statistics & Probability Letters, 1988, vol. 6, issue 6, 383-388

Abstract: A locally asymptotically normal estiamtion problem generated by independent and identically distributed generalized random variables is considered. A recursive estimate based on a stochastic approximation method, a modification of an estimate proposed by Sakrison, is shown to be locally asymptotically minimax. For a nonparametric generalization of the estimation problem, a modification of the estimate is shown locally asymptotically minimax adaptive.

Keywords: adaptive; estimate; independent; and; identically; distributed; locally; asymptotic; minimax; locally; asymptotically; normal; nonparametric; recursive; stochastic; approximation (search for similar items in EconPapers)
Date: 1988
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