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cemmap Working Papers
June 2005 CWP06/05
Article
Maximal uniform convergence rates in parametric estimation problems
Type: cemmap Working Papers
Authors: Walter Beckert and Daniel McFadden
ISSN: 1753-9196
Volume, issue, pages: 20 pp.
JEL classification: C13, C16
Keywords: parametric estimators, uniform convergence, Hellinger distance, Locally Asymptotically Quadratic (LAQ) Families
New version: CWP28/07 [Details]

This paper considers parametric estimation problems with i.i.d. data. It focusses 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.

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