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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2003 Volume 48, Issue 4, Pages 676–700 (Mi tvp251)

This article is cited in 11 papers

On asymptotically efficient statistical inference for moderate deviation probabilities

M. S. Ermakov

Institute of Problems of Mechanical Engineering, Russian Academy of Sciences

Abstract: We study the lower bounds of efficiency for the moderate deviation probabilities of tests and estimators. These bounds cover both the logarithmic and strong asymptotics. For the problems of hypothesis testing we propose a natural representation for the lower bounds of type I and type II error probabilities in terms of inverse function of the standard normal distribution. The lower bounds for the moderate deviation probabilities of estimators are deduced easily from the corresponding bounds in hypothesis testing.

Keywords: large deviations, moderate deviations, efficiency, Bahadur efficiency, Chernoff efficiency.

Received: 23.12.2002

DOI: 10.4213/tvp251


 English version:
Theory of Probability and its Applications, 2004, 48:4, 622–641

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