Delta method, asymptotic distribution
Copyright policy )Delta method, asymptotic distribution
AbstractThe delta method for deriving asymptotic distributions is presented. Assume interest lies in where is an unknown parameter and is a known function. The delta method allows to immediately obtain an approximation of the distribution of the plug‐in estimator through the asymptotic distribution ofwheneverthe asymptotic distribution of is known and is differentiable at .This article is categorized under:Data: Types and Structure > Time Series, Stochastic Processes, and Functional Data
- Vrije Universiteit Amsterdam Netherlands
- School of Business and Economics, Econometrics and Data Science Netherlands
plug-in estimator, asymptotic distribution, Computational methods for problems pertaining to statistics, delta method, differentiable function
plug-in estimator, asymptotic distribution, Computational methods for problems pertaining to statistics, delta method, differentiable function
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