Weak Convergence of the Sample Distribution Function when Parameters are Estimated 论文

1973The Annals of Statistics引用 387
Statistical Methods and InferenceBayesian Methods and Mixture ModelsStochastic processes and financial applications

摘要

The weak convergence of the sample df is studied under a given sequence of alternative hypotheses when parameters are estimated from the data. For a general class of estimators it is shown that the sample df, when normalised, converges weakly to a specified normal process. The results are specialised to the case of efficient estimation.