Maximal uniform convergence rates in parametric estimation problems

Abstract

This paper considers parametric estimation problems with independent, identically, non-regularly distributed data. It focuses on rate-efficiency, in the sense of maximal possible convergence rates of stochastically bounded estimators, as an optimality criterion, largely unexplored in parametric estimation. Under mild conditions, the Hellinger metric, defined on the space of parametric probability measures, is shown to be an essentially universally applicable tool to determine maximal possible convergence rates. These rates are shown to be attainable in general classes of parametric estimation problems.JEL Classification: C13, C16