On asymptotically efficient statistical inference for moderate
Teoriâ veroâtnostej i ee primeneniâ, Tome 48 (2003) no. 4, pp. 676-700 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

We study the lower bounds of efficiency for the moderate deviation probabilities of tests and estimators. These bounds cover both the logarithmic and strong asymptotics. For the problems of hypothesis testing we propose a natural representation for the lower bounds of type I and type II error probabilities in terms of inverse function of the standard normal distribution. The lower bounds for the moderate deviation probabilities of estimators are deduced easily from the corresponding bounds in hypothesis testing.
Keywords: large deviations, moderate deviations, efficiency, Bahadur efficiency, Chernoff efficiency.
@article{TVP_2003_48_4_a2,
     author = {M. S. Ermakov},
     title = {On asymptotically efficient statistical inference for moderate},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {676--700},
     year = {2003},
     volume = {48},
     number = {4},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2003_48_4_a2/}
}
TY  - JOUR
AU  - M. S. Ermakov
TI  - On asymptotically efficient statistical inference for moderate
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2003
SP  - 676
EP  - 700
VL  - 48
IS  - 4
UR  - http://geodesic.mathdoc.fr/item/TVP_2003_48_4_a2/
LA  - ru
ID  - TVP_2003_48_4_a2
ER  - 
%0 Journal Article
%A M. S. Ermakov
%T On asymptotically efficient statistical inference for moderate
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2003
%P 676-700
%V 48
%N 4
%U http://geodesic.mathdoc.fr/item/TVP_2003_48_4_a2/
%G ru
%F TVP_2003_48_4_a2
M. S. Ermakov. On asymptotically efficient statistical inference for moderate. Teoriâ veroâtnostej i ee primeneniâ, Tome 48 (2003) no. 4, pp. 676-700. http://geodesic.mathdoc.fr/item/TVP_2003_48_4_a2/

[1] Aleshkyavichene A. K., “Veroyatnosti bolshikh uklonenii dlya $U$-statistik i funktsionalov fon Mizesa”, Teoriya veroyatn. i ee primen., 35:1 (1990), 3–14 | MR | Zbl

[2] Arkhangelskii A. N., “Nizhnie granitsy dlya veroyatnostei bolshikh uklonenii summ nezavisimykh sluchainykh velichin”, Teoriya veroyatn. i ee primen., 34:4 (1989), 625–635 | MR

[3] Bahadur R. R., “On the asymptotic efficiency of tests and estimates”, Sankhyā, 22 (1960), 229–252 | MR | Zbl

[4] Borovkov A. A., Mogulskii A. A., Bolshie ukloneniya i proverka statisticheskikh gipotez, Trudy In-ta matematiki SO RAN, 19, Nauka, Novosibirsk, 1992, 222 pp. | MR | Zbl

[5] Borovkov A. A., Mogulskii A. A., “Bolshie ukloneniya i statisticheskii printsip invariantnosti”, Teoriya veroyatn. i ee primen., 37:1 (1992), 11–18 | MR | Zbl

[6] Chernoff H., “A measure of asymptotic efficiency for tests of a hypothesis based on sums of observations”, Ann. Math. Statist., 23 (1952), 493–507 | DOI | MR | Zbl

[7] Ermakov M. S., “Asymptotic minimaxity of usual goodness of fit tests”, Probability Theory and Mathematical Statistics, Proceedings of the 5th Vilnius Conference, v. I, eds. B. Grigelionis et al., VSP, Zeist; Mokslas, Vilnius, 1991, 323–331 | MR

[8] Ermakov M. S., “Bolshie ukloneniya empiricheskikh mer i proverka gipotez”, Zap. nauchn. semin. LOMI, 207, 1993, 37–60

[9] Ermakov M. S., “Asimptoticheskaya minimaksnost kriteriev tipa Kolmogorova i omega-kvadrat”, Teoriya veroyatn. i ee primen., 40:1 (1995), 54–67 | MR | Zbl

[10] Ermakov M. S., “O nizhnei granitse dlya tochnoi asimptotiki veroyatnostei bolshikh uklonenii statisticheskikh otsenok”, Problemy peredachi informatsii, 35:3 (1999), 46–60 | MR

[11] Grinvud P. E., Ibragimov I. A., “Ob asimptoticheski effektivnom otsenivanii po Bakhaduru”, Dokl. RAN, 32:1 (1993), 5–7 | MR

[12] Hajek J., “Local asymptotic minimax and admissibility in estimation”, Theory of Statistics, Proceedings of the Sixth Berkeley Symposium on Mathematical Statistics and Probability, v. I, Univ. California Press, Berkeley, 1972, 175–194 | MR | Zbl

[13] Hodges J. L., Lehmann E. L., “The efficiency of some nonparametric competitors of the $t$-test”, Ann. Math. Statist., 27 (1956), 324–335 | DOI | MR | Zbl

[14] Inglot T., Kallenberg W. C. M., Ledwina T., “Strong moderate deviation theorems”, Ann. Probab., 20:2 (1992), 987–1003 | DOI | MR | Zbl

[15] Jurecková J., Kallenberg W. C. M., Veraverbeke W., “Moderate and Cramér-type deviation theorems for $M$-estimators”, Statist. Probab. Lett., 6 (1988), 191–199 | DOI | MR | Zbl

[16] Kallenberg W. C. M., “Intermediate efficiency, theory and examples”, Ann. Statist., 11:1 (1983), 170–182 | DOI | MR | Zbl

[17] Kourouklis S., “On the relation between Hodges–Lehman efficiency and Pitman efficiency”, Canad. J. Statist., 17:3 (1989), 311–318 | DOI | MR | Zbl

[18] Kourouklis S., “A relation between the Chernoff index and the Pitman efficiency”, Statist. Probab. Lett., 9:5 (1990), 391–395 | DOI | MR | Zbl

[19] Le Cam L., Asymptotic Methods in Statistical Decision Theory, Springer-Verlag, New York, 1986, 742 pp. | MR

[20] Oosterhoff J., van Zwet W. R., “A note on contiguity and Hellinger distance”, Contributions to Statistics, Hajek Memorial Volume, eds. J. Jurecková, Reidel, Dordrecht, 1979, 157–166 | MR

[21] Radavicius M., “From asymptotic efficiency in minimax sense to Bahadur efficiency”, New Trends in Probability and Statistics, v. 1, eds. V. Sazonov and T. Shervashidze, VSP, Zeist; Mokslas, Vilnius, 1991, 629–635 | MR

[22] Strasser H., Mathematical Theory of Statistics, de Gruyter, Berlin, New York, 1985, 492 pp. | MR | Zbl

[23] Wieand H. S., “A condition under which the Pitman and Bahadur approaches to efficiency coincide”, Ann. Statist., 4 (1976), 1003–1011 | DOI | MR | Zbl

[24] Wolfowitz J., “Asymptotic efficiency of the maximum likelihood estimator”, Teoriya veroyatn. i ee primen., 10:2 (1965), 267–281 | MR | Zbl