On the Asymptotic Properties of Minimum Contrast Estimates

Wilfried Grossmann
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Wilfried Grossmann: University Vienna, Institut of Statistics

A chapter in Probability and Statistical Inference, 1982, pp 115-127 from Springer

Abstract: Abstract Let Xi be independent real valued random variables whose distribution depends on some unknown parameter θ. If one estimates θ by minimum contrast estimates then the contrast function induces a stochastic process similar to the log-likelihoodprocess. We study the asymptotic properties of this process and derive therefrom the asymptotic distribution of the corresponding estimates under the true distribution and under alternatives which fulfill some kind of contiguity property.

Keywords: Asymptotic Property; Asymptotic Normality; Nonlinear Time Series; Contrast Function; Minimum Contrast (search for similar items in EconPapers)
Date: 1982
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-009-7840-9_12

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DOI: 10.1007/978-94-009-7840-9_12

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