On an asymptotic relative efficiency concept based on expected volumes of confidence regions

  • The paper deals with an asymptotic relative efficiency concept for confidence regions of multidimensional parameters that is based on the expected volumes of the confidence regions. Under standard conditions the asymptotic relative efficiencies of confidence regions are seen to be certain powers of the ratio of the limits of the expected volumes. These limits are explicitly derived for confidence regions associated with certain plugin estimators, likelihood ratio tests and Wald tests. Under regularity conditions, the asymptotic relative efficiency of each of these procedures with respect to each one of its competitors is equal to 1. The results are applied to multivariate normal distributions and multinomial distributions in a fairly general setting.

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Metadaten
Author:Ludwig Baringhaus, Daniel Gaigall
DOI:https://doi.org/10.1080/02331888.2019.1683560
ISSN:1029-4910
Parent Title (English):Statistics - A Journal of Theoretical and Applied Statistic
Publisher:Taylor & Francis
Place of publication:London
Document Type:Article
Language:English
Year of Completion:2019
Date of first Publication:2019/11/05
Date of the Publication (Server):2023/01/16
Tag:Volume of confidence regions; asymptotic relative efficiency; likelihood ratio test; multinomial distribution; multivariate normal distribution
Volume:53
Issue:6
First Page:1396
Last Page:1436
Link:https://doi.org/10.1080/02331888.2019.1683560
Zugriffsart:bezahl
Institutes:FH Aachen / Fachbereich Medizintechnik und Technomathematik
collections:Verlag / Taylor & Francis