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Efficient Estimates and Optimum Inference
Procedures in Large Samples
By C. Raprarasion Rao
Indian Stott atte, Cale
(lead a Rasancnt Meraoos Merrow of ih Socry, Deemer Gt, 1961,
Profesor D. R- Cox inthe Chu}
Suauy
‘The concept of efficiency in estimation i linked with closeness of appron-
ration to the derivative of log Lkelibood, which plays an important role ia
‘satisticalinfeeace in large samples. Various orders of efficiency are defined
‘depending on degrees of closeness, and properties of estimates satsyng these
centers are studied. Such measuesof efficiency appear tobe more appropriate
‘than the one related to arymplotic variance of an eximate for juding the
performance ofan estimate, when used as a substitute for the whole sample
{drawing iferece about ooknowa parameter. Iti found tht, under
some conditions, the maximum likelihood exiate bas some optimum
properties which dtaguis it rom all ther large sample estinatex
1. Ieooveriow
‘is easly four decades soc Sir Ronald Fiser introduced the conept of kehood
which, a «funtion of unknown parameters given the sample, plays a fundamental
‘ole ia statistical infereace. He bad also studied and established optisum properties
of estimates obtained by maximizing likeitood nthe light of criteria of consistency
aod efcieny in large samples, and of suficieny and amount of information inthe
case of smal samples (Fisher, 1922, 192). There has been, however, some controversy
‘gating the superiority of waximam likebood (m1) estimates over others. For
lnstance, i basteo sid that te method of ms jastone out ofan nity of exina-
‘ion procedures yielding wha ar calle BA.N. (bes asymptotically normal estimates
Inving the same opianum asymptote properties as ml. esimaes (Neynan, 1949;
aléane, 1951), and that rer ert are necessary for establishing the superonty,
‘any, of ml, esas, It bas aso beea thought tha the extece of supereficieat
cstimates, e. with asymptotic variances smaler than those of mJ estimates, aval
ats the concept of efieaey on which the use of mi. estimates is advooled
(Lecam, 1955.
‘The anomalies appaeay arte in judping an estimate from narow concepts,
such a asymptotic variance and concentration, defined in estited manne round
the true value, which are not by themselves well conditioned indicators ofthe wefil-
ess ofan estimate in tatsalafreoce. For instance, iT, is an estimate of 6, the
ligit of
PrT.~ 0AM:
15 n-+00 is defined a8 limiting concentration, whereas the natural thing (0 do is to
‘examine the probebiity of cooceatration in a fixed interval round the true value as1962] -Rao~ Efficient Estimates and Optimum Inference Procedures a
n-vco and not in intervals tending to zero. Recent invetigaions at the Indian
‘Statistical Iastitute on criteria for estimation and limiting properties of estimates,
from the wider point of view of statistical inference, have led to some definite resolts
regarding m. estimates, which I would like to present at this meeting.
"The main line of investigation has been to enquire Kow good a given estimate is
‘asa substitute for the whole sample in drawing inference about unknown parameters
(Rao, 19608, 1961). This approach is implicit ia Fisher's work (Fisher, 1922, 1925)
and is also stated by Barnard (1948) in his fundamental paper on statistical inference.
‘Such an approach is considered by some statisticians as of limited value because it
is general and not intended ¢o answer specific questions in making decisions from
‘observed data (Berkson, 1960). On the contrary, in meny practical situations, the
‘object of reduction of data in the form of an estate is only to facilitate answering
a variety of questions of immediate interest. Further, it would be more economical
to preserve for future use an estimate instead of the whole sample; and this could be
done satisfactorily only ifthe estimate is « good substitute for the sample. Another
line of work initiated by Bahadur (1960) has been to study the concentration of an
estimate in fxed intervals round the true value of a parameter, at the sample size
increases. It may be observed from the approach adopied by Bahadur, oras explicitly
‘demonstrated in the present paper, that cosceatration is equivalent fo cortaia other
properties of an estioiate used as a substitute for the whole sample in tests of signifi
‘ance. Thus the approach developed in the earlier papers (Rao, 1960a, 1961) seems
10 provide a convenient framework for discussing the problem of estimation.
‘The criteria for judging the performance of an estimate compared with that of
the whole sample are obtained by a suitzble reformulation of consistency and eficiency
introduced by Fisher (1922, 1925). This is done in section 2 and the properties of
estimates satisfying these criteria are examined in sections 3, 4 and 5.
‘While thanking the Royal Statistical Society for giviog me an opportunity to read
‘paper at one ofits meetings, I must apologize for choosing a subject which may
appear somewhat classical. But I hope this small attempt intended to state in precise
terms what can be claimed about mL. estimates, in large samples, will at least throw
some light on current controversies,
2. Carrenta oP ConsisTINCY AND EFFICIENCY
2, Consistency
twill help usin our discussion if we state in precise terms the criteria of consistency
and efficiency, especially as there is some misunderstanding in the interpretations of
‘the original definitions given by Fisher (1922, 1925). Although the concept of con-
sistency a5 discussed in this section is mot necessary for the development ofthe paper
it has been included for the sake of completeness, to demonstrate how this criterion
fits in with the general approsch to the problem of estimation indicated in the
introduction.
Let £* be the space of infinite sequences of observations and S, the Kolmogoroff
‘e-feld of measurable sets. Further (Pa) represents a family of probability measures
defined over 5, and indexed by a parameter 6 varying in a set {@). Let T,(X,) bea
real valued statistic defined on 2%, the space of the first n observations, X- The
family of probability measures induced by T,, which may be regarded as a function oa
X®, is (PyTq3), Two probability measures yu,» are said to be orthogonal (a) if
there exist disjoint sets A and B such thet w(4) = (8) = 1, (8) = 44) = 0.a Rao Efflen Extimates and Option Inference Procedures (No. 1,
Definition 21. Let Py Ts! wg weakly, Then Ty is wid to be cositent forthe family
Baheif mod ny whenever Ppa,
‘Wea the imiting measures pp and py do aot exit an alleratve deition of
‘consistency may be ven.
Defniton 22, The statistic 7, is said to be consistent for the fail (Pit for any
Given «>0, thre exists an mg) such tha foreach n>m(0) disjoit ses dy and By
can be found in 2 with the propery
AT HUDPI-“6 BTN KG
PTE Ee RTSKB21—6,
wonnever PytPy
_ Tis easy to Show thatthe definition 2.1 implies tbe definition 2.2 when and py
cist
Orthogonaity of masures Py and P, inplics that complet disciaination is
possible betwesa thee two members ofthe family asthe sample sie i increased
indefinitely. The ceri of consistency sates thatthe same could be achived by
considering ony tke estimate (sa statisti) in te place ofthe whole smple a each
sage,
“There are two definitions of consistency curet in literature, one of which know
1s probably consistency (P.C.) requires that Ty» weakly of strongly, in which
‘ase it is csy to see that te debnitions 21 and 32 are slisied. According to our
wider concept, 7, would be coasstent eva if Ty» (0), single valued function of 8
and not necessarily to 6, The author has shows (Rao, 196) that 2 few examples of
inconsistency of ml, estimates recorded in literature relate to an estimate tending to
‘function ofthe parameter instead of the parameter with respect to which maxiniza-
tion of likelihood is sought.
‘Another definition suitable or sequences of independent and identically distributed
observations i cll Fther consistency (F.C). IFS, denotes the empirical dsc
‘Gon function based on n observations, Fiber (1956) considers a statistic Ty = (S,)
where fis a functional defined over the space of all dstrbution functoas. Thea 7,
is sid to be F.C. if /(Fq)= © where Fy is the tre disvibuion furction, I te
functional is weally continuous, F.C. implies P.C.
22, Efiincy
‘While consistency ensure that an estimate achieves perfect discrimination between
altemative distributions as n-+o, ficiency is concerned with dflreacesin dscimina-
tion provided by an estimate and the whale sample as n->20. For split, et ur
coosier the case where probability densities exist and only one uaknowe peramtier
ininvoled. For a given 8, let P(Yq 0) deacte the probablity density of the semple
poiot X,in* and PT, ), that forthe statistic Ty. The best discriminator (dierimi-
‘ban futetion) between alternative distributions with indices @ and ¢ isthe Likehood
_gilio PU /P(%q.4), while that based on 7, aloae is PCT, OFT). Now Ty
inequivalent ro the wool sample i
dn Pow i)
Fd)" Fg) OOP ep
which is realized if T, is sufficient for the unknown parameter,1962] RAo~ Efcient Estinctes and Optimum Inference Procedures °
Ta large samples itis perhaps relevant to consider alteraatives close to one another,
In such a ease, ifthe first derivative P’(X 6) of P(X, 6) with respect to 6 exists, the
dlscriminator may be writen as P(X 6)/P(%, 8). The corresponding expression for
T, is P(T,, O/PCTy, 8) and the difference
nya Pan) PT
O° FED PTD om
plays a key role in studying the performance of Ty. The statistic 7, is equivalet ia
‘some seas tothe whole sample, when ms large, if
‘td{O,n)-+0 in probability,
‘where a is chosen so that 1*P'(X,, 0)/P(Xq 9) does not itself converge to zero in
probability. Usually « =~} serves the purpose.
Definition2.3. A statistic T, is said to be ecient (to the frst ordes) if fora suitable
‘choice of c, such that the statistic *P'(X,, O)/P(X,, 8) does not converge to zero,
‘d(0,»)-r0 in probability.
“There may be avery wide class of statistics satisfying the criterion of fint-order
ficiency, in which case a further criterion may be necessary for restricting the choice
of statistics, This should depeod on the rapidity of convergence of n#d(@,n) or the
asymptotic behaviour of d(6,n) itself, Since E{d(@,n)} = 0, V(d(0,n)} may provide
A satisfactory measure.
Definltion2.4. The second-order eicieney of T, is
lim ¥(a(6,n)) = him (1(%,)— 1)
where 1(X,) and 1(T,) stand for the amounts of information (ia Fisher's sense)
contained in the sample and in the statistic respectively.
Second-order efficiency, as given in definition 2.4, examines the amount of
information lost in using a statistic instead of the whole sample. This aspect was fist
‘examined by Fisher (1925) when he conjectured that m.l. estimates have the least
Limiting loss.
‘The criteria of efficiency given in definitions 2.3 and 2.4 are extremely dificult to
verify in practice. They are, therefore, replaced by simpler definitions 2.5 and 2.6,
which are formated so a8 to incorporate the eset atures of definitions 23
and. ind to be equivalent to them under some restrictive conditions on the
probability densities.
Definition 2.5, The statistic T, is said to be efficient (frst order) if
Py 8) 50. ia probabil
{EG 9 e097, a]-+0 a proba, @3)
‘where A) is a function of 8 only.
‘Note that if (2,3) holds, 7, is automatically consistent, because it tends to 6 in
Probability. If we replace 6(8)(T,~6) by a(6)+B(0)T,, we have a more general
‘situation, but this is not of direct interest in the context of the present investigation.
Definition 2.6. The second-order efficiency isthe minimum asymptotic variance of
FP tO I) yO, en
‘when minimized with respect to A.50 Rao Bfcient Enimates and Optimum Inference Procedures (No, ,
Ja the rest ofthe paper we shall use ist-and second-order efcienies only in the
sense of definitions 25 and 2.6 respectively.
23, Second-order Eficixey of ml. Estimates
1 has been shown by Rao (1961) that, under some regularity conditions, the
frs-ordereficieny in the sense of dfaiton 2.5 ensures that a8 n-+00
Hy 1%
Seer e9
‘where 1(%,) and I(T, are the amounts of information contained in the sample and
in the statistic respectively, Tere may be an infinity of estimation procedures for
whic (2.5) is tre, in which cae the second-order efficiency will be of use in restiing
the choice fo a subset.
tisof some interest to examine the conditions under which deSitios 2.4 and 2.6
of second-order eficieacy are equivalent. In sucb a case the results already proved
rmgarding second-order eiciency of estimates have direct signfcance as statements
concerning the actual amovat of information lost.
‘Now, for a multiaomial distribution, it has beea shown by Rao (1961) that mL.
4s the only method with an optimum second-order eficiency under the following
‘conditions of whic the fist one is purely a resrcioa on the choice ofa parameter:
(@) The parameter under consideraion is continuous functional of the
istibation function;
(i) The cell probabiies represented by 9y(),...m(@) admit continuous
rh,
ay Gelert, on2 Rao Efficient Estimates and Optima Inference Procedures (No.1,
where £ and xq are the mean and median respectively, Obviously 7, is consistent
for te mean of the noroal distibution and its asymptotic vance i Jon when
= Oand Ifrotervis. The asymptotic variance of 7, is the soe as Ua of = when
4440 and can be made smaller tan that of at 80 by chosig a ebivariy
sal, Now, being stochastically equivalemt tothe mean when #= 0, cbviowtly,
tot a more sisfucory estate than # from any plat of view. Indeed one ca,
‘Construct, by an extension of Hodges’s method suggested by LeCam (1953), T, $0.
8 tobe asrmpttcaly equivalent to the median fora countable sof vas Of 2
and possessing a sale asymptote variance a these points. That wold be mahing
the postion worse. What ia elect Ses-order eficeny demands is not tat tbe
Asymptotic variance of an estimate is « minimum butts asymptote corelaon with
the derivaive of og lieliboed be unity. For 7, coasted is (2.7), the asymptti
correation is 2) at @ = O and wait elsewhere, whereas fr, it sunt for a 8.
‘Uthe deficiency in an estimate is measured by | —r°, where ris the asymptouc correla
‘tion, then the deficiency in T, defined in (2.7) is about 0:363 at @ = 0.
2, Assumptions end Notations
In the rest of the paper we shall consider only sequences of independest and
idenicaly distributed variables with probability density (x8) with respect to a
‘nite measure v, and distibuion function Fx). The probability density of m
observations is denoted by Pty 6) with respect 10 ty and tbat of Ty with respect
toa ote measure u by P(Tq 0). The following assinptions are refered to ia the
‘various propositions proved a
Assanption 1 The derivative of x, 6) exists and i= E(dlog 9/48 is Site,
“Assanption 2. FE, s any Lebesgae measurable set a,
Bfjfroona[lP
Bf, Peta TD y,
‘emay be noted that, as a consequence of assumption |, the statistic
Ze =P DIPS DINA
is asymptotically normally distributed with mean zero and variance i. Further
F(Z) =0,0(2,)e foreach
Tf we define
Y= (PT IPT INH,
‘he jaformation contained in 7,
WO) = ly
7, has s-oder efieney i the seas of defnion 2.5, it bas been shows by Rao
(0961) hat both (7,8) Yaad, ace normally dibuted inthe Lt
3. Emon Eenwares ano Tests or Sixareance
In this scion, we eablsh some optimum properties o tet of infcane based
on Satorder ecient eximates, Since oplmom lets provide 4 bas for ftereal
‘estimation a justification ofthe choice of ficient estimates in wo important methoda-
logis problems is provided, The main resuls are given i Theorems | and 2,1962) Rao - Efficient Estimates and Optimum Inference Procedures 3
Lemma 3.1. Let r4(6) be the power function of a text of the hypothesis Hy:8 = @
(8 specified value), at a given level of significance a. If r,(8,) is the derivative of
r4{0) at 8, then, under Assumptions 1 and 2,
Tas rece) < Gites el
‘where ais the « per cent point of the standard normal distribution.
For any mit is known (Rao and Poti, 1946) that the test based on the critical
region
Wy hai Pa OP Xan 8) Oy yl)
where ays choten such thatthe sizeof m, is, basa maximum slope forthe power
function uty. Heace
ebD< [PO Mddrg=Yaf ZPD dry
ln Ja
Dividing by (mand taking it 8 <0, we have that
Tnr(0 actin Iva ys™ PE Ado
=f Qrrzennaam inte, — 02)
soevs
Lemma 32. IT, bas first-order efciency and Assumptions | and 2 are satisfied,
then fp-+f.
The proof is given by Rao (1961). We shall now prove Theorem 1, which shows
‘that a test based on an efficient estimate bas maximum local power asymptotically.
Theorem 1. Let T, be a first-order efficient estimate and P'(T,, %_)> An Pa(Tms 80)s
‘a test of the hypothesis Hy: 6 = @, at a given level of significance a. If 7,(6) is the
‘power function of this test then, under Assumptions 1 and 2,
lim reC60)N = (Hla he, 3)
‘the upper bound derived in Lemma 3.1.
Following the notation of section 25, let
wy lai Z>6) and we = (Ly: %2b) co}
‘be two critical regions of the same size Since 1=p = E(Z,—Y,)} and ig-+/, a8 8
result of Lemma 32,
tim [ (Z.- YFP 8)dog = 0.
ede
Heace if 2aPOt Bde tim YP Ady os)
Jas sels
But [rPet 80de> [Ptr Are,” Rao Eficlent Estimates and Optimum Inference Procedures (No. ly
‘because ¥% 3, inthe locally powerful test based 00 Ty. Hence
(Ba J rere tam in 00
2 tim YPC Odea in. [24 PC Bd
= (ine, cr)
‘sing (1.2). The result (1.3) of Theorem 1 follows from (.1) and (3.9).
‘important to coosider the property of the test based om 7, ia the form
‘Ta~A)Yn>A, which is usually wed, and ot as considered in Theorcen | using the
og decvative of the density function of T,. Theorem 2 shows tat the sae loeal
Property is true of such 8 test
Theoren 2. Let the assumptions on the probability density xx, ) and T, be as
fa Theorem !. Ifthe test eiteron is U, = (TaOp)yn A where A is chosen sich
Bat the imine of sgicance is, then (fain as the same Limit sin
Byetaiion — KCOWR= | Pe Adan
= [ip PaP he Bd on
ea
‘Since [2,~BUy|-+0 in probability beoawse of the first-order efficiency of Ty the
joint asymptotic distribution of Z, and U, exists and is, in fact, degenerate. If
F(Z, U) represents this asymptotic distribution, (3.7) tends to
frre], a=,
since pis tobe chosen s that Pr(Z> Mf) w, which proves te required result
‘The foregoing analysis sugests the folowing deion of lintng eficiency of
atest
Defntion. Let r9(8) be the power function ofa test of the hypothesis ys 8 0, at
a fned level of sigalfcance The limiting eficency ofa testi thea
{im xeon ea, on
‘or its square, where (0) i the upper bound derived in lene 3.1.
‘An explicit evaluation ofthe limiting efciency is provided by Lema
Lena 3.3, Let the tet criterion be Uy = (Ty @)yi4> and let the joint limiting
Aistribatioa of Z, and Uy be bivariate normal with correlation coefficient p, Thea
unger the assumptions of Theorem 2, the liting effiiency ofthe test isp.
Fora firstorderefica estimate the asympitic correlation between the eatimate
‘nd Z, i unity, in which case the eficieacy of any otberestinate may be measured
by its ésymptotic correlation with Lemma 33 shows that this meature is directly
related to the asymptotic slope ofthe power function ofthe est based on he timate,1962) Rao- Efficient Estimates and Optimum Inference Procedures 3
To prove Lemma 3.3, we have that
aloo eMetoaee[,, MED
=f Zazlertur= [sear 39)
loo o>
where aU ia the regression of Z 00 U, $0 that 9 = poyloy. The lat expression in
9), afer simpifcation, reduces 19
ie e,
And dividing bythe upper bound (3.1) we obtain the efficiency ofthe test asp.
‘Sundrum (1954) obsered that in examining linkage in inheritance of two factors,
the test based on the mi estimate of the recombination fraction (inkage parameter)
is locally less powerful thaa an alternative large sarope test. This cannot, obviously,
be tre in view of what has beta cstablisbed in Theorem 2, since the ma. estimate in
this particular situation bas first-order eficicocy. ‘The atcruative testis based on &
siatstc which happens to be eficien whea linkage does not exist, i. for a particular
value of the tinkage parameter. Hence itis expected to have the same local property
as the test based on the oul estimate for this panicular value of the parameter.
Sundrum’s result is, therefore, misleading, especially as he claims 10 provide a
justfcaton for a statement attributed to Fisher (1950, pp. 314-315) that good tests
may be based on ineficient estimators. The particular ineficient estimator referred
to by Fisher happens to be efficient atthe point specified by tbe null hypothesis, and
itprovides a test as good as the m.L estimate, but not better. The results of setion 4
‘ofthis paper will show tha efficiency in an interval of the unkoown parameter ensures
some other desirable properties.
4. STRONGER Finst-onDER EFFICIENCY AND Tests OF SIGNIFICANCE
‘The limiting properties proved in Theorems | and 2 state that, compared to
any other given tes, the power of a one-sided test based on a first-order efficient
estimate is not less (and is perhaps better) in @ neighbourhood of @,, for each sufi-
‘Genlly large, but the neighbourhood may depead on n. It would, indeed, be better
if it could be claimed of any test that its power canaot be less than that of any other
{Given test in a specified interval of 6 for all sufficiently large n. It appears that such
a statement can be made if the testis based on an estimate that bears a relation to Zy,
stronger than that implied by first-order eficency.
Lemma 4.1, Let ,, be a critical region of size a, in * for testing the hypothesis,
Ly ‘and (9) the second kind of error. If a, is bounded away from unity,
then
- HB
_ Ban woh» [ra BOlon FE d= 6.89. an
TE (8, 6,) = co, there is nothing to prove, Let (8, 6,) be finite and define
wo Reon Tea
[iPrtomaten bel Pood$5 RAO Bificent Estimates and Optinan Inference Procedaes (No.1,
“ral aroml Pad a, pref os eB Pett a,
6,094 [frat a ey 42)
‘Hence Emr tog A> H(0,
Since, by the mean ergodio theorem (Doob, 1983, p. 469), the second expression in
(42) tts to wr.
Lanna 42. For the Hkelibood ratio test PU O)> Ay P(XasQ) such that the
sizeof the critical region @,->0,0 (Bxed)
ww *togBa(8) _ _ 1(0)
ye ET!
where B,(8) is the second kind of error.
Lemina 4.3 shows that for the test Z4(05)> which is known to be locally most
powerful on one sie, the stronger result (6), which ensure its superiority over any
other tet in a neighbourhood of das n-+2o, is true under the additional conditions
and (i).
‘Under the conditions () and (iit is easy to show that
Yon, 60 Ion exn(—(8-892(601 A dn
46),
og a69 +o0-a05]
‘Therefore
fi 0-09 one M9400) = A. an
Consider fexrt-(8- A026 —A yn Pas Dy
me (AO- AMIE AOY. (48)8 Rao - Bfclent Extimotes ond Optima Inference Procedwes (No.1,
By Tebebybets inequaliy, (48) is ates ta
x)
rovided (0-6) 0, aad therfore
wtlogh.9.< EAN og (0,09
“s)
‘sing (4.7). Combining (49) with (4.5), ve obtain the result 4.9),
Corollary, Uf the testis of tbe form |Z,(0)|2 4 and §5(0) = FrqZ,(6)| =— ar (I+ COs
ba Hope Zan =a, a9
hich implies that, considering Z,/lisead of 2, fr suiceally laren
ogPrdZyiynl> d 4|T—-8l: 9 ZONA <0
wie! is independent of interval of @ enclosing @ Thea for
Seat fio enkirietneues nok bd
tim tim 08D e 00) (19)
potenee OH 2
By étiniton Pa Prl(t,— nd; 6]
aren, Pr(4B)
ca 1 Pr (C)<1—Pr(AB)<1—Pr (4) +1—Pr(B)
using the result (4.14) for 1~Pr(B). Keeping « fixed we can
decrease such thatthe second term in (4.17) dominates over pf. Heace for sufi-
cenly small &
Be tog —Pr(C)}< lim wr HHog ep exp (nih (C—O,
UO
ne
Dividing by # and taking Limits a8 h-+0,
im im MEP) KOI e
atae,
Sen Caan, salto 1)
Baa“ ap
Further, since 8, <1—| Pr Sy nde) remaenv wih Pin ple
1=Pr(C). Noy using (4.5), the result (4.16) of Theorem 3 is established.
CCroiay. For the tworsded test] 7, Mek
Moa
‘The proof son the same lines as that ofthe corollary ofthe Theorgm 2.
6)>0;© Rao Efcent Estimates and Optinwn inference Procedures (No. ly
5, Srronom Fast-onpex Erncimcr axp Loaine Concenreanion
Ja this setion, we shall consider the problem of tmiting concentration as developed
bby Babadur (1940), As observed earlier, te main result isa consequence of Lemma 4.
‘which provides a lower bound to the Second kind of error, The same bound holds
forthe probability of deviation of aa estimate from the ive value by a given amount,
‘under mild restriction on tbe estimate. The conaerion between tbe second kind of
‘error, which plays a fundamental role in the Neyenen-Pearson uheory of testing of
hypotheses, and the probability of deviation ia an estimate has been exploited by
Birnbaum (1961) iz proving some optimum properies of ml. estimates ia small
‘samples. The atempt has 00t been completely sucessful in the sense that no general
“statements evuld be made about mi. estimates, which shows thatthe smal sample
roblem may have to be viewed from an eniely different angle fice from the concept
‘of longrun frequency of errors in the estimate (Barnard, 1949).
Lemma 5.1. Let T, bea statistic such that Pr(T, 2 6; 6) is bounded avay from
nity 8 n-+20 for each <8, thea for A>
lim wHogPe(Ty~64<—hi 82 Oy 86). on
~ H(8) + of, then
TE ly =A)
0
80,
tas hi Bl> ~ 62
Consider the tst T,> &,—h ofthe null hypothesis, Hy: =k. The second
kindof error when 8, i the true value is Pr(T, 6h; 8). Hence an application of
[Lema 4.1 gives the result (31). Equation (5.2) foows fom (5.1) by considering the
‘expansion of pl 6)~A)
Lemma 5.2, de Yo Bahadur (1960), follows from the results of Lemna 5.1. The
conditions imposed by Bahadur are, howeves, ghly diferent,
Lena 2. IT, 8a saustic such that One or both of Pr(T,> 8; 8, 8< 6, and
Pr(T, <8; 0), 8> 8 ate bounded away fom unity asm, then
(5)
Let Pr, 2 0; 6) (08) be bounded away fom unity, Then (53) follows from
(52) by observing that
PrqT,— 41>? Pr(T,— 8 < —h).
‘The same result can be established if Pr(T,< 0; 8) is bounded away from unity
for 8> 8
Theor, Let, be sch tat for Bea whe 8 bins
Pe Tan ZAHM] >e|Ta— Ah <9 69
or rT, ~O,-Za(OE Yad] > «|ZCODME YN)

0) = (Xa: T,>
where 7, is assumed to be the unique root of Z4(8) = 0, to deduce admissibittry and
local beiinss of T, a8 an estimate of @ io finite samples, from the corresponding
‘properties of admissibiity and local bestness of the test based on Z,(6). These are
extremly special cases and it appears that one has to.consider large samples in order
to say something definite, in general,
The various types of dependence in large samples considered are
@ Z()-KO(T,—9a}-+0 in probability;
(Ga) PHIZ (OMA Cy—D)> 417A <0* (0< Ns
bd Pr(|ZACOME a) (Te D> «IZ OMA

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