When does third order efficiency imply fourth order efficiency
Statistics Theory
2013-11-25 v1 Statistics Theory
Abstract
In this article third and fourth order efficiency are studied in the framework of translation equivariant location estimators. We assume i.i.d. . 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 , 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.
Cite
@article{arxiv.1311.5774,
title = {When does third order efficiency imply fourth order efficiency},
author = {Shanti Venetiaan},
journal= {arXiv preprint arXiv:1311.5774},
year = {2013}
}