Cramér Asymptotic Efficiency in a Semiparametric Model |
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| Authors: | Min Yi Guohua Deng |
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| Institution: | 1. Department of Science, Nanchang Institute of Technology, Nanchang, Jiangxi, China;2. School of Finance and Statistics, Jiangxi University of Finance and Economics, Nanchang, Jiangxi, China |
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| Abstract: | This article is concerned with efficient estimation in a semiparametric model. We consider pseudo maximum likelihood estimation and prove that the proposed estimator is asymptotically efficient in the sense of Cramér; that is, the estimator has the smallest mean squared error. |
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| Keywords: | Hölder continuous piecewise polynomial pseudo-maximum likelihood estimator |
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