Maximal uniform convergence rates in parametric estimation problems

Walter Beckert () and Daniel McFadden

No CWP28/07, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

This paper considers parametric estimation problems with independent, identically,non-regularly distributed data. It focuses on rate-effciency, in the sense of maximal possible convergence rates of stochastically bounded estimators, as an optimality criterion,largely unexplored in parametric estimation.Under mild conditions, the Hellinger metric,defined on the space of parametric probability measures, is shown to be an essentially universally applicable tool to determine maximal possible convergence rates. These rates are shown to be attainable in general classes of parametric estimation problems.

JEL-codes: C13 C16 (search for similar items in EconPapers)
Date: 2007-11-23
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http://cemmap.ifs.org.uk/wps/cwp2807.pdf (application/pdf)

Related works:
Journal Article: MAXIMAL UNIFORM CONVERGENCE RATES IN PARAMETRIC ESTIMATION PROBLEMS (2010)
Working Paper: Maximal uniform convergence rates in parametric estimation problems (2005)
Working Paper: Maximal Uniform Convergence Rates in Parametric Estimation Problems (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:28/07

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