Summary
The problem to estimate a common parameter for the pooled sample from the double exponential distributions is discussed in the presence of nuisance parameters. The maximum likelihood estimator, a weighted median, a weighted mean and others are asymptotically compared up to the second order, i.e. the ordern −1/2 with the asymptotic expansions of their distributions.
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References
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Akahira, M. Second order asymptotic comparison of estimators of a common parameter in the double exponential case. Ann Inst Stat Math 39, 25–36 (1987). https://doi.org/10.1007/BF02491446
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DOI: https://doi.org/10.1007/BF02491446