Related papers: Efficient prediction in $L^2$-differentiable famil…
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.…
The Cram\'er-Rao bound serves as a crucial lower limit for the mean squared error of an estimator in frequentist parameter estimation. Paradoxically, it requires highly accurate prior knowledge of the estimated parameter for constructing…
The classical Cram\'er-Rao inequality gives a lower bound for the variance of a unbiased estimator of an unknown parameter, in some statistical model of a random process. In this note we rewrite the statment and proof of the bound using…
In his 2005 paper, S.T. Smith proposed an intrinsic Cram\'er-Rao bound on the variance of estimators of a parameter defined on a Riemannian manifold. In the present technical note, we consider the special case where the parameter lives in a…
We consider the segmentation problem of univariate distributions from the exponential family with multiple parameters. In segmentation, the choice of the number of segments remains a difficult issue due to the discrete nature of the…
By using the conjugate distribution technique of Cram\'er, we obtain some expansions of large deviation probabilities for martingales with differences satisfying the conditional Bernstein's condition. The expansions are of the same order as…
We show how a Cram\'er-Wold theorem for a family of multivariate probability distributions can be used to generate a similar theorem for mixtures (convex combinations) of distributions drawn from the same family. Using this abstract result,…
Recently, a Wasserstein analogue of the Cramer--Rao inequality has been developed using the Wasserstein information matrix (Otto metric). This inequality provides a lower bound on the Wasserstein variance of an estimator, which quantifies…
We characterize the existence of the maximum likelihood estimator for discrete exponential families. Our criterion is simple to apply as we show in various settings, most notably for exponential models of random graphs. As an application,…
We derive conditions for $L_2$ differentiability of generalized linear models with error distributions not necessarily belonging to exponential families, covering both cases of stochastic and deterministic regressors. These conditions…
We consider the question of learning the natural parameters of a $k$ parameter minimal exponential family from i.i.d. samples in a computationally and statistically efficient manner. We focus on the setting where the support as well as the…
In this paper, we first describe the generalized notion of Cramer-Rao lower bound obtained by Naudts (2004) using two families of probability density functions, the original model and an escort model. We reinterpret the results in Naudts…
A linear system of difference equations and a nonlinear perturbation are considered. We propose sufficient conditions to ensure that the homeomorphism of topological equivalence between them is actually a $C^1$ diffeomorphism. These…
Cram\'er type moderate deviation theorems quantify the accuracy of the relative error of the normal approximation and provide theoretical justifications for many commonly used methods in statistics. In this paper, we develop a new…
We consider the classical problem of learning, with arbitrary accuracy, the natural parameters of a $k$-parameter truncated \textit{minimal} exponential family from i.i.d. samples in a computationally and statistically efficient manner. We…
The Cram\'er-Rao bound (CRB), a well-known lower bound on the performance of any unbiased parameter estimator, has been used to study a wide variety of problems. However, to obtain the CRB, requires an analytical expression for the…
We establish Cram\'er-type moderate deviation theorems for sums of locally dependent random variables and combinatorial central limit theorems. Under some mild exponential moment conditions, optimal error bounds and convergence ranges are…
Consider bivariate observations $(X_1,Y_1), \ldots, (X_n,Y_n) \in \mathbb{R}\times \mathbb{R}$ with unknown conditional distributions $Q_x$ of $Y$, given that $X = x$. The goal is to estimate these distributions under the sole assumption…
We establish a Cram\'er-type moderate deviation theorem for double-index permutation statistics (DIPS). To the best of our knowledge, previous results only provided Berry-Esseen type bounds for DIPS, which cannot yield moderate deviation…
Under minimal regularity assumptions, we establish a family of information-theoretic Bayesian Cram\'er-Rao bounds, indexed by probability measures that satisfy a logarithmic Sobolev inequality. This family includes as a special case the…