When does third order efficiency imply fourth order efficiency

Shanti Venetiaan

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arXiv · 1311.5774

When does third order efficiency imply fourth order efficiency

Shanti Venetiaan

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Abstract

In this article third and fourth order efficiency are studied in the framework of translation equivariant location estimators. We assume $X_1,...,X_n$ i.i.d. $f(\cdot -θ)$. By recognizing that equality in a special form of the Cauchy-Schwarz inequality leads to a certain dependence of the cumulants of the maximum likelihood estimator (MLE) for $θ$, it is shown that this MLE is fourth order efficient if the underlying distribution is Gumbel. Contrary to similar results which were previously published this result is not based on symmetry.

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Shanti Venetiaan. 2013-11-22. When does third order efficiency imply fourth order efficiency. https://arxiv.org/abs/1311.5774

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