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The likelihood ratio for densities with singularities
Authors:N. K. Bakirov
Abstract:
Let tn be the Bayesian estimator of the parameter theta constructed from independent observations in the case of infinite information and probability distribution density with some singularities. It is shown that under certain conditions on the behavior of the densities near their singularities, the normalizing factor phiv(n) ensuring that Deltan=phiv(n) (tn-theta) has a nontriviallimiting distribution for n rarrinfin is regularly varying in Karamata's sense. The limiting distribution of Deltan is determined.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 74, pp. 66–82, 1977.I would like to acknowledge the guidance of I. A. Ibragimov in the course of this research.
Keywords:
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