Download e-book for iPad: Basics of Modern Mathematical Statistics (Springer Texts in by Vladimir Spokoiny, Thorsten Dickhaus

By Vladimir Spokoiny, Thorsten Dickhaus

ISBN-10: 3642399096

ISBN-13: 9783642399091

This textbook offers a unified and self-contained presentation of the most methods to and ideas of mathematical records. It collects the elemental mathematical principles and instruments wanted as a foundation for extra critical experiences or maybe self reliant learn in facts. the vast majority of current textbooks in mathematical information persist with the classical asymptotic framework. but, as glossy statistics has replaced swiftly lately, new equipment and techniques have seemed. The emphasis is on finite pattern habit, huge parameter dimensions, and version misspecifications. the current publication presents a completely self-contained advent to the realm of recent mathematical facts, gathering the elemental wisdom, recommendations and findings wanted for doing additional study within the sleek theoretical and utilized records. This textbook is basically meant for graduate and postdoc scholars and younger researchers who're drawn to smooth statistical tools.

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P ;  2 ‚  Rp /. P /. The natural target of estimation in this situation is the parameter  itself. P / is dominated, that is, there exists a dominating measure 0 . y; Â/ for the log-density. P / will be frequently used in the sequel: the Kullback–Leibler divergence and Fisher information. y/ is called the Kullback–Leibler divergence (KL-divergence) between P and P 0 . P ; P 0 / if there is no risk of confusion. Y;  0 / ; where Y P . An important feature of the Kullback–Leibler divergence is that it is always non-negative and it is equal to zero iff the measures P and P 0 coincide.

Y/: 3. t. y/ < 1: In the case of a multivariate parameter, the notion of the Fisher information leads to the Fisher information matrix. d. 2. Â/ D D Z Z Rp / be a parametric family. P / at  2 ‚. Y1 ; Â/g> : The additivity property of the Fisher information extends to the multivariate case as well. 1. P ;  2 ‚/ be a regular family. P / with P D P½n is also regular. 1. d. d. standard normal. 2 Local Properties of the Kullback–Leibler Divergence and Hellinger Distance The local relations between the Kullback–Leibler divergence, rate function, and Fisher information naturally extend to the case of a multivariate parameter.

3. 4. y/, h> s0 , h> Sn . For the first statement, it suffices to show that P h> S n ! h> s0 ; p > nh S n w ! 0; h> †h/; s0 n ! s0 / Än 1=2 H k 2 n k =2 P ! d. y/k for a neighborhood U of s0 . Here kAk means the maximal eigenvalue of a symmetric matrix A. 2 Substitution Principle: Method of Moments By the Glivenko–Cantelli theorem the empirical measure Pn (resp. edf Fn ) is a good approximation of the true measure P (resp. pdf F ), at least, if n is sufficiently large. This leads to the important substitution method of statistical estimation: represent the target of estimation as a function of the distribution P , then replace P by Pn .

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Basics of Modern Mathematical Statistics (Springer Texts in Statistics) by Vladimir Spokoiny, Thorsten Dickhaus

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