On a non-parametric analogue of the information matrix
Teoriâ veroâtnostej i ee primeneniâ, Tome 21 (1976) no. 4, pp. 759-774
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For a class of differentiable functions $\Phi(F)$ of distributions $F$, an analogue of the information matrix $I(F)$ is considered. In terms of matrix $I(F)$, bounds for risks in estimating $\Phi(F)$ are obtained; this is an extension, to the non-parametric case, of a result of J. Hajek [2]. Some examples are discussed including estimation of $\Phi(F)$ under the restriction that the values of differentiable functions $\Psi(F)$ are known.
@article{TVP_1976_21_4_a5,
author = {Yu. A. Ko\v{s}evnik and B. Ya. Levit},
title = {On a~non-parametric analogue of the information matrix},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {759--774},
year = {1976},
volume = {21},
number = {4},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1976_21_4_a5/}
}
Yu. A. Koševnik; B. Ya. Levit. On a non-parametric analogue of the information matrix. Teoriâ veroâtnostej i ee primeneniâ, Tome 21 (1976) no. 4, pp. 759-774. http://geodesic.mathdoc.fr/item/TVP_1976_21_4_a5/