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Large deviations for estimators of some threshold parameters

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Abstract

In this paper, we consider a class of statistical models with a real-valued threshold parameter, which is either the minimum or the maximum of the support of the sampling distribution. We prove large deviation principles for sequences of estimators (maximum likelihood estimators and posterior distributions) as the sample size goes to infinity. Furthermore we illustrate some connections with the analogous large deviation results for the natural exponential families.

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Authors and Affiliations

  1. Dipartimento di Matematica, Università di Roma Tor Vergata, Via della Ricerca Scientifica, 00133, Rome, Italy

    Claudio Macci

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  1. Claudio Macci
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Correspondence to Claudio Macci.

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Macci, C. Large deviations for estimators of some threshold parameters. Stat Methods Appl 19, 63–77 (2010). https://doi.org/10.1007/s10260-009-0119-y

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  • DOI: https://doi.org/10.1007/s10260-009-0119-y

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