Asymptotic relative efficiency

M. Hallin

    Research output: Chapter in Book/Report/Conference proceedingChapterScientificpeer-review

    Abstract

    The purpose of asymptotic relative efficiency is to compare two statistical procedures by comparing the sample sizes, n1 and n2, say, at which those procedures achieve some given measure of performance; the ratio n2/n1 is called the relative efficiency of procedure one with respect to procedure two. Finite-sample evaluations being difficult or impossible, a sequence of measures of performances requiring that those sample sizes go to infinity is generally considered. If those measures of performance are indexed by n, say, so that n1 and n2 take the form n1(n) and n2(n), the limit limn→∞n2(n)/n1(n), if it exists, is called the asymptotic relative efficiency of procedure one with respect to procedure two.
    Original languageEnglish
    Title of host publicationEncyclopedia of Environmetrics, 2nd Edition
    EditorsW. Piegorsch, A. El Shaarawi
    PublisherWiley
    Pages932-936
    Number of pages3510
    ISBN (Print)9780470973882
    Publication statusPublished - 2012

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