Kybernetika 34 no. 3, 245-263, 1998

Global information in statistical experiments and consistency of likelihood-based estimates and tests

Igor Vajda

Abstract:

In the framework of standard model of asymptotic statistics we introduce a global information in the statistical experiment about the occurrence of the true parameter in a given set. Basic properties of this information are established, including relations to the Kullback and Fisher information. Its applicability in point estimation and testing statistical hypotheses is demonstrated.