A Cramér-Rao inequality for non differentiable models

Details A Cramér-Rao inequality for non differentiable models A Cramér-Rao inequality for non differentiable models

2012-04-12

arxiv.org/abs/1204.2763v1

Mathematics

Statistics Theory

Scientific paper

We compute a variance lower bound for unbiased estimators in specified
statistical models. The construction of the bound is related to the original
Cram\'er-Rao bound, although it does not require the differentiability of the
model. Moreover, we show our efficiency bound to be always greater than the
Cram\'er-Rao bound in smooth models, thus providing a sharper result.

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