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Adaptive estimator : ウィキペディア英語版
Adaptive estimator

In statistics, an adaptive estimator is an estimator in a parametric or semiparametric model with nuisance parameters such that the presence of these nuisance parameters does not affect efficiency of estimation.
==Definition==
Formally, let parameter ''θ'' in a parametric model consists of two parts: the parameter of interest , and the nuisance parameter . Thus . Then we will say that \scriptstyle\hat\nu_n is an adaptive estimator of ''ν'' in the presence of ''η'' if this estimator is regular, and efficient for each of the submodels
:
\mathcal_\nu(\eta_0) = \big\.

Adaptive estimator estimates the parameter of interest equally well regardless whether the value of the nuisance parameter is known or not.
The necessary condition for a regular parametric model to have an adaptive estimator is that
:
I_(\theta) = \operatorname(z_\nu z_\eta' \, ) = 0 \quad \text\theta,

where ''z''''ν'' and ''z''''η'' are components of the score function corresponding to parameters ''ν'' and ''η'' respectively, and thus ''I''''νη'' is the top-right ''k×m'' block of the Fisher information matrix ''I''(''θ'').

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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