Cramer'-Wold device

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1 total messages Started by Anthony Rossini Fri, 24 Jul 1992 16:25

#19

Author: Anthony Rossini
Date: Fri, 24 Jul 1992 16:25

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The Cramer'-Wold device is useful for showing the asymptotic normality of
estimators, for a fixed dimension K, by saying that if all linear
combinations of components of a vector are asymptotically normal, then the
vector is asymptotically normal as well.  I've been trying to prove (no luck
yet, either way) that it holds for K -> \infty  (i.e. the number of
parameters estimated goes to infinity).  Does anyone have a reference,
ideas, or a counter-example for this?

(I'm not sure where this problem really belongs, but it seems more like
probability than statistics at this point!)

thanks,
-tony
--
Anthony Rossini       -       rossini@biostat.harvard.edu
Department of Biostatistics, Harvard School of Public Health
677 Huntington Ave, Boston MA 02115  617-432-1056

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