Qh. Wang et By. Jing, Local asymptotic normality and asymptotical minimax efficiency of the MLE under random censorship, SCI CHINA A, 43(6), 2000, pp. 591-600
Citations number
7
Categorie Soggetti
Multidisciplinary
Journal title
SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY
Here we study the problems of local asymptotic normality of the parametric
family of distributions and asymptotic minimax efficient estimators when th
e observations are subject to right censoring. Local asymptotic normality w
ill be established under some mild regularity conditions. A lower bound for
local asymptotic minimax risk is given with respect to a bowl-shaped loss
function, and furthermore a necessary and sufficient condition is given in
order to achieve this lower bound. Finally, we show that this lower bound c
an be attained by the maximum likelihood estimator in the censored case and
hence it is local asymptotic minimax efficient.