A relation between the Chernoff index and the Pitman efficacy

A relation between the Chernoff index and the Pitman efficacy given implicitly in Chernoff (1952) for sums of i.i.d. random variables is extended to broad classes of M-estimators. This relation establishes the local equivalence of Chernoff efficiency and Pitman efficiency.

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Year of publication:	1990
Authors:	Kourouklis, Stavros
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 9.1990, 5, p. 391-395
Publisher:	Elsevier
Keywords:	Chernoff efficiency Pitman efficiency M-estimators large deviations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005074749