Efficient estimation of Banach parameters in semiparametric models. (English) Zbl 1065.62053

Summary: Consider a semiparametric model with a Euclidean parameter and an infinite-dimensional parameter, to be called a Banach parameter. Assume:
(a) There exists an efficient estimator of the Euclidean parameter. (b) When the value of the Euclidean parameter is known, there exists an estimator of the Banach parameter, which depends on this value and is efficient within this restricted model.
Substituting the efficient estimator of the Euclidean parameter for the value of this parameter in the estimator of the Banach parameter, one obtains an efficient estimator of the Banach parameter for the full semiparametric model with the Euclidean parameter unknown. This hereditary property of efficiency completes estimation in semiparametric models in which the Euclidean parameter has been estimated efficiently. Typically, estimation of both the Euclidean and the Banach parameter is necessary in order to describe the random phenomenon under study to a sufficient extent. Since efficient estimators are asymptotically linear, the above substitution method is a particular case of substituting asymptotically linear estimators of a Euclidean parameter into estimators that are asymptotically linear themselves and that depend on this Euclidean parameter. This more general substitution case is studied for its own sake as well, and a hereditary property for asymptotic linearity is proved.


62G05 Nonparametric estimation
62G20 Asymptotic properties of nonparametric inference
46N30 Applications of functional analysis in probability theory and statistics
62J05 Linear regression; mixed models
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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