Pré-Publication, Document De Travail Année : 2025

Nuisance parameters and elliptically symmetric distributions: a geometric approach to parametric and semiparametric efficiency

Résumé

Elliptically symmetric distributions are a classic example of a semiparametric model where the location vector and the scatter matrix (or a parameterization of them) are the two finite-dimensional parameters of interest, while the density generator represents an infinite-dimensional nuisance term. This basic representation of the elliptic model can be made more accurate, rich, and flexible by considering additional finite-dimensional nuisance parameters. Our aim is therefore to investigate the deep and counter-intuitive links between statistical efficiency in estimating the parameters of interest in the presence of both finite and infinite-dimensional nuisance parameters. Unlike previous works that addressed this problem using Le Cam's asymptotic theory, our approach here is purely geometric: efficiency will be analyzed using tools such as projections and tangent spaces embedded in the relevant Hilbert space. This allows us to obtain original results also for the case where the location vector and the scatter matrix are parameterized by a finite-dimensional vector that can be partitioned in two sub-vectors: one containing the parameters of interest and the other containing the nuisance parameters. As an example, we illustrate how the obtained results can be applied to the well-known "low-rank" parameterization. Furthermore, while the theoretical analysis will be developed for Real Elliptically Symmetric (RES) distributions, we show how to extend our results to the case of Circular and Non-Circular Complex Elliptically Symmetric (C-CES and NC-CES) distributions.

Fichier principal
Vignette du fichier
Paper_TIT_SF_JPD_EO.pdf (536.38 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Licence

Dates et versions

hal-05129179 , version 1 (25-06-2025)
hal-05129179 , version 2 (03-10-2025)
hal-05129179 , version 3 (17-03-2026)

Licence

Identifiants

Citer

Stefano Fortunati, Jean-Pierre Delmas, Esa Ollila. Nuisance parameters and elliptically symmetric distributions: a geometric approach to parametric and semiparametric efficiency. 2025. ⟨hal-05129179v1⟩
590 Consultations
261 Téléchargements

Altmetric

Partager

  • More