Local asymptotic minimax estimation of nonregular parameters with translation-scale equivariant maps

Authors:
Kyungchul Song
Affiliations:
-
Venue:
Journal of Multivariate Analysis
Year:
2014

Citing 3
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Abstract

When a parameter of interest is defined to be a nondifferentiable transform of a regular parameter, the parameter does not have an influence function, rendering the existing theory of semiparametric efficient estimation inapplicable. However, when the nondifferentiable transform is a known composite map of a continuous piecewise linear map with a single kink point and a translation-scale equivariant map, this paper demonstrates that it is possible to define a notion of asymptotic optimality of an estimator as an extension of the classical local asymptotic minimax estimation. This paper establishes a local asymptotic risk bound and proposes a general method to construct a local asymptotic minimax decision.