References

In addition to the main text, Mathematical Statistic (Shao, 2003), some

other textbooks are listed here for further readings.
Barndor-Nielsen, O. E. (1978). Information and Exponential Families in
Statistical Theory. Wiley, New York.
Barndor-Nielsen, O. E. and Cox, D. R. (1994). Inference and Asymptotics. Chapman & Hall, London.
Berger, J. O. (1985). Statistical Decision Theory and Bayesian Analysis,
second edition. Springer-Verlag, New York.
Bickel, P. J. and Doksum, K. A. (2002). Mathematical Statistics, second
edition. Holden Day, San Francisco.
Casella, G. and Berger, R. L. (1990). Statistical Inference. Wadsworth,
Belmont, CA.
Chung, K. L. (1974). A Course in Probability Theory, second edition.
Academic Press, New York.
Ferguson, T. S. (1967). Mathematical Statistics. Academic Press, New
York.
Lehmann, E. L. (1986). Testing Statistical Hypotheses, second edition.
Springer-Verlag, New York.
Lehmann, E. L. and Casella, G. (1998). Theory of Point Estimation,
second edition. Springer-Verlag, New York.
Rao, C. R. (1973). Linear Statistical Inference and Its Applications, second edition. Wiley, New York.
Rohatgi, V. K. (1976). An Introduction to Probability Theory and Mathematical Statistics. Wiley, New York.
351

352

References

Royden, H. L. (1968). Real Analysis, second edition. Macmillan, New

York.
Searle, S. R. (1971). Linear Models. Wiley, New York.
Sering, R. J. (1980). Approximation Theorems of Mathematical Statistics. Wiley, New York.
Shao, J. (2003). Mathematical Statistics, second edition. Springer-Verlag,
New York.

Index
0-1 loss, 73, 83
2 goodness-of-t test, 301-302
-eld, xv, 1
A
Absolute error loss, 80, 155, 161
Admissibility, xv, 73-75, 155-160, 169-174, 187-188
Ancillary statistic, xv, 68-70
Approximate unbiasedness, 80
Asymptotic bias, xv, 88
Asymptotic correctness of condence sets, xvi, 333, 335-343
Asymptotic distribution, see limiting distribution
Asymptotic eciency, 193-194, 238, 240
Asymptotic level, xv, 93-94, 306-308
Asymptotic mean squared error, xv, 88, 91, 134
Asymptotic pivotal quantity, 333-335, 339
Asymptotic relative eciency, xv, 89-91, 132, 135-136, 140, 187-189, 196197, 236-238, 240-242
B
Bayes action, xvi, 145-150, 152
Bayes estimator, xvi, 153-154, 156-160, 168-170
353

354

Index

Bayes factor, 304

Bayes risk, xvi, 81, 154, 156
Bayes rule, xvi, 80-84
Bayes test, 304
Best linear unbiased estimator (BLUE), 127-129, 132
Bootstrap, 247-249
Borel function, xvi, 2-4
Bounded completeness, xvi, 65-67
Bounded in probability, 39-40
C
Characteristic function, xvi, 19, 21, 23-25
Cochrans theorem, 16
Completeness, xvi, 64-70
Conditional distribution, 32
Conditional expectation, xvi, 26-34
Condence interval, xvi, 85
Condence region or set, xvi, 85-86
Conjugate prior, 141-142
Consistency of estimator, xvii, 86-88, 158-160, 189-191, 222, 344-345
Consistency of test, xvii, 92-93, 306-308
Contingency table, 299-301
Convergence almost surely, 35-36, 49
Convergence in distribution, 36-37, 42-45, 47-48
Convergence in moments, 35-37, 49
Convergence in probability, 36-37, 40-41, 46-47, 49
Correlation, 18

Index

355

Correlation coecient, 56-58, 93-94, 279-280, 292

Cramer-Rao low bound, 116
Credible set, 320-321
D
Density estimation, 216-221
Dunnetts interval, 348-349
E
Empirical Bayes, xvii, 150-151, 153
Empirical distribution, xvii, 212, 216, 222, 228, 232-234, 243, 245, 305-306,
321, 343
Estimability, xvii, 120-123, 132-133
Expectation, 17
Expected length, 85, 324
Exponential family, xvii, 51-53, 59-60
F
Fiellers interval, 309
Fisher information, 112-115, 124
Fisher-scoring, 180-181, 206-208
G
G
ateaux dierentiability, 222-223, 232
Generalized Bayes, xvii, 147-153, 157-158, 169
Goodness of t test, see 2 goodness-of-t test
Good sets principle, 1
H
Highest posterior density credible set, 320-321
Hodges-Lehmann estimator, 236

356

Index

Hubers estimator, 241-242, 245

I
Independence, xvii, 14-16, 18, 53, 68-69
Inuence function, 223-227, 230-232, 243
Integration, xviii, 5-8
Inverting acceptance regions, 317-319, 327, 334-338, 340-343
J
Jackknife, 246-247
K
Kaplan-Meier estimator, 214
L
L-functional, 224-225, 227-228, 243
Least squares estimator (LSE), 119-120, 122, 125-132
Lebesgue density, 13-15, 19-20, 24
Length of a condence interval, 322-324, 334
Liapounovs condition, 50
Likelihood equation, xviii, 176-187
Likelihood ratio (LR) test, 283-297, 299-300, 335-337, 340-343
Limiting distribution, 54, 56-59, 136-138, 189-190, 193-198, 200, 202-205,
235, 290-293, 299
Lindebergs condition, 48-49, 249-250
Location-scale family, xviii, 52
M
Mallows distance, 209-211
Maximum likelihood estimator (MLE), 175-182, 184-191, 193-197, 202204, 212, 214, 221
Maximum prole likelihood estimator, 221

Index

357

Mean, see expectation

Measure, xix, 1-2
Median, 8, 37-38, 80, 238-239
Minimal suciency, 60-69
Minimax estimator, xix, 165-171, 174
Minimax rule, xix, 81-84
Minimum risk invariant estimator (MRIE), 160-164
Missing data, 222
Moment estimator, 134-138, 150-151, 153, 196-197
Moment generating function, xix, 20-22, 26
Monotone likelihood ratio, xx, 256-264, 268-269, 272, 282, 313-316, 327,
329-331
N
Newton-Raphson method, 180-181, 206-207
Noncentral chi-square distribution, 16, 19-20, 258, 315
Noncentral F-distribution, 22, 315-316, 328
Noncentral t-distribution, 271-272, 319
O
One-sample t-test, 271, 306-307
One-step MLE, 206-208
Optimal rule, xx, 75-78
P
p-value, 84-85
Pairwise independence, 15
Pivotal quantity, xx, 309-313, 321-322
Posterior distribution, xx, 141-143, 156-158
Posterior expected loss, 153-154

358

Index

Posterior mean, 142, 144, 146

Posterior variance, 142, 144
Power function, xx, 276
Power series distribution, 52
Prediction, 321
Probability density, 12
Product measure, 10-11
Prole likelihood, 221
Q
Quantile, 231-236
R
Radon-Nikodym derivative, 9-10
Randomized condence set, 330
Randomized estimator, xx, 71
Raos score test, 296-298, 300-303, 334-338, 340-343
Risk, xx, 71-74, 81-82, 174-175
Root of the likelihood equation (RLE), 195, 197-198, 200
S
Sample median, 237-238, 241, 344-345
Sample quantile, 343
Schees intervals, 347
Shortest-length condence interval, 323-327
Simultaneous condence intervals, xxi, 345-350
Size, xxi, 92
Suciency, xxi, 59-61, 114-115
Sup-norm distance, 211

Index

359

Supereciency, 192
T
Test, 73, 84
Testing independence, 301
Trimmed sample mean, 229, 240
Type II error probability, 251
U
U-statistic, 116-119, 140, 244-245
Unbiased condence set, xxii, 324, 328
Unbiased estimator, xxii, 77-80, 222
Uniform integrability, 38-39
Uniformly minimum variance unbiased estimator (UMVUE), xxii, 95-112,
115-116, 123-124, 132-133, 157-158, 187-188, 196
Uniformly most accurate (UMA) condence set, xxi, 327-331
Uniformly most accurate unbiased (UMAU) condence set, xxi, 324, 326327, 332-333
Uniformly most powerful (UMP) test, xxi, 251-254, 259-269, 281-282
Uniformly most powerful unbiased (UMPU) test, xxi, 269-270, 273-283,
289-292, 294-295, 332
V
Variance estimator, 243-249, 344-345
W
Walds test, 296-298, 300, 302-303, 334-337, 340-343
Weak law of large numbers, 45-46