On the Mean Value Theorem for Estimating Functions

Alexandre Galvão Patriota

The American Statistician, 2019, vol. 73, issue 4, 408-410

Abstract: Feng et al. revealed that the usual mean value theorem (MVT) should not be applied directly to a vector-valued function (e.g., the score function or a general estimating function under a multiparametric model). This note shows that the application of the Cramer–Wold’s device to a corrected version of the MVT is sufficient to obtain standard asymptotics for the estimators attained from vector-valued estimating functions.

Date: 2019
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DOI: 10.1080/00031305.2018.1558110

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