Asymptotic Distribution – Determining the Efficiency of ? Using Asymptotic Distribution of ?n(??_n??)

asymptoticsestimatorsmaximum likelihoodnormal distributionorder-statistics

I want to know the asymptotic distribution of $\sqrt{n}(\hat\theta_n-\theta)$ to determine the efficiency of $\hat\theta_n$.

I know there is a theorem with lots of assumptions that immediately concludes that it is efficient and the distribution if $N(0,I(\theta)^{-1})$ but I'm wondering if there is another approach?


I have that $\hat\theta_n = X_{(1)}$ and I have computed $F_{\hat\theta_n}(x)$ and $f_{\hat\theta_n}(x)$ already.

$$f_\theta (x) = e^{\theta-x}1_{x\geq \theta}$$
$$F_{\hat\theta_n} (x) = \left[1-e^{n(\theta-x)} \right] 1_{x\geq \theta}$$
$$f_{\hat\theta_n} (x) = \left[ne^{n(\theta-x)} \right] 1_{x\geq \theta}$$

Is there a way to continue from here that uses the delta method or otherwise?


This is my attempt: We want the distribution of $Y_n = \sqrt{n}(\hat\theta_n-\theta)$. We can rewrite this as $\frac{Y_n}{\sqrt{n}}+\theta = \hat\theta_n$

$$f_{Y_n} (x) = f_{\hat\theta_n} \left(\frac{Y_n}{\sqrt{n}}+\theta\right)$$

$$= ne^{-\sqrt{n}Y_n}1_{Y_n \geq 0}$$

I don't know how to continue from here. I don't see how to arrive from this to a normal approximation so that I can figure out efficiency?! I also thought about using the Delta Method but it seems like it is not applicable in this case?!

Best Answer

Part of the sufficient conditions for asymptotical normality of the MLE is that all models in the family have the same support. This fails in your example because it is $(\theta,\infty)$.

In particular this means that $\hat \theta_n = X_{(1)} > \theta$ and so $Y_n > 0$. Thus it cannot be asymptotically normal (other than being degenerate, in case you consider that "normal").

We can compute the distribution more explicitly. As you correctly noted we have $$ \mathbb{P}(Y_n < y) = \mathbb{P}(X_{(1)} < \theta + y/\sqrt{n}). $$ (Note you can't just put $\theta + y/\sqrt{n}$ straight into the density for $X_{(1)}$ - you need to differentiate the expression above and you'd find an extra $1/\sqrt{n}$).

This comes out as $$ \mathbb{P}(Y_n < y) = 1 - \exp(-y \sqrt{n}), $$ i.e. Exponential($\sqrt{n}$). This is not asymptotically normal. The variance is $1/n$. Assuming efficiency is defined by the ratio to the Cramer Rao lower bound, we must compute the Fisher Information $I(\theta)$ and examine the ratio $$ n/I(\theta) $$

The Fisher information is $$ I(\theta) = \mathbb{E}[l'(X;\theta)^2] \\ = \mathbb{E}[ \left((d/d\theta)(n\theta - \sum_i X_i)\right)^2] = n^2. $$

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