In this paper, we consider a class of statistical models with a real-valued threshold parameter, which is either the minimum or the maximum of the support of the sampling distribution. We prove large deviation principles for sequences of estimators (maximum likelihood estimators and posterior distributions) as the sample size goes to infinity. Furthermore we illustrate some connections with the analogous large deviation results for the natural exponential families.
Macci, C. (2010). Large deviations for estimators of some threshold parameters. STATISTICAL METHODS & APPLICATIONS, 19(1), 63-77 [10.1007/s10260-009-0119-y].
Large deviations for estimators of some threshold parameters
MACCI, CLAUDIO
2010-01-01
Abstract
In this paper, we consider a class of statistical models with a real-valued threshold parameter, which is either the minimum or the maximum of the support of the sampling distribution. We prove large deviation principles for sequences of estimators (maximum likelihood estimators and posterior distributions) as the sample size goes to infinity. Furthermore we illustrate some connections with the analogous large deviation results for the natural exponential families.| File | Dimensione | Formato | |
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