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A Cramér-Rao inequality for non differentiable models

We compute a variance lower bound for unbiased estimators in specified statistical models. The construction of the bound is related to the original Cramér-Rao bound, although it does not require the differentiability of the model. Moreover, we show our efficiency bound to be always greater than the Cramér-Rao bound in smooth models, thus providing a sharper result.

preprint2012arXivOpen access
Thibault EspinassePaul Rochet
math.STStatistics Theory
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Thibault EspinassePaul Rochet

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