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Efficiency of a statistical procedure

From Encyclopedia of Mathematics
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A concept used to compare statistical procedures in a given class with an optimal one. In mathematical statistics the notion of optimality of a statistical procedure is usually expressed in terms of the risk (function) of the procedure, which in turns depends directly on the choice of the loss function. Therefore, it can happen that one and the same statistical procedure is very efficient or even optimal in one sense and less efficient in another.

Efficiency of a statistical procedure is a concept not altogether clearly defined. It acquires a more precise meaning in specific problems of mathematical statistics such as, for example, the testing of statistical hypotheses and statistical estimation.

How to Cite This Entry:
Efficiency of a statistical procedure. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Efficiency_of_a_statistical_procedure&oldid=14143
This article was adapted from an original article by M.S. Nikulin (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article