On Local and Nonlocal Measures of Efficiency

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Kallenberg, Wilbert C.M. and Ledwina, Teresa (1987) On Local and Nonlocal Measures of Efficiency. Annals of Statistics, 15 (4). pp. 1401-1420. ISSN 0090-5364

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Abstract:General results on the limiting equivalence of local and nonlocal measures of efficiency are obtained. Why equivalence occurs in so many testing and estimation problems is clarified. Uniformity of the convergence is a key point. The concepts of Frechet- and Hadamard-type differentiability, which imply uniformity, play an important role. The theory is applied to tests based on linear rank statistics, showing equivalence of the local limit of exact Bahadur efficiency and Pitman efficiency. As a second application, the relation between the inaccuracy rate and the asymptotic variance of $L$-estimators is investigated.
Item Type:Article
Copyright:© 1991 Institute of Mathematical Statistics
Faculty:
Electrical Engineering, Mathematics and Computer Science (EEMCS)
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Link to this item:http://purl.utwente.nl/publications/70376
Official URL:http://dx.doi.org/10.1214/aos/1176350601
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