A relation between the Chernoff index and the Pitman efficacy

Stavros Kourouklis

Statistics & Probability Letters, 1990, vol. 9, issue 5, 391-395

Abstract: A relation between the Chernoff index and the Pitman efficacy given implicitly in Chernoff (1952) for sums of i.i.d. random variables is extended to broad classes of M-estimators. This relation establishes the local equivalence of Chernoff efficiency and Pitman efficiency.

Keywords: Chernoff; efficiency; Pitman; efficiency; M-estimators; large; deviations (search for similar items in EconPapers)
Date: 1990
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