A Cram\'er-Rao inequality for non differentiable models

Thibault Espinasse; Paul Rochet

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arXiv · 1204.2763

A Cram\'er-Rao inequality for non differentiable models

Thibault Espinasse·Paul Rochet

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Abstract

We compute a variance lower bound for unbiased estimators in specified statistical models. The construction of the bound is related to the original Cram\'er-Rao bound, although it does not require the differentiability of the model. Moreover, we show our efficiency bound to be always greater than the Cram\'er-Rao bound in smooth models, thus providing a sharper result.

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Thibault Espinasse, Paul Rochet. 2012-04-12. A Cram\'er-Rao inequality for non differentiable models. https://arxiv.org/abs/1204.2763

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