Slide 16
Slide 16 text
Proposition 1. For any positive integer values of αn and βn
(a) if θin is affine equivariant, then so is θ;
(b) if θin is an unbiased estimator of θ, the so is θ.
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Proposition 2. Suppose that x1,...,xn are iid, and αn → ∞ and βn → ∞ as n
→ ∞
• if θin’s converge weakly to the true value θ, then so does θ;
• if θin’s converge in L2 to the true value θ, then so does θ;
• if θin’s converge strongly to the true value θ, then so does θ;
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Denote μn = E[θin] and σn= var(θin)
2
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To establish the asymptotic normality of θ, we need one of the following
two conditions.
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Condition (a) αn is a constant independent of n and σn < ∞
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Condition (b) αn → ∞ and βn → ∞ as n → ∞, and
E ⎮θin - μn ⎮
βn σn
2+δ
2+δ
δ/2
⟶0 as n → ∞, for some δ>0