On asymptotics of the distributions of some two-step statistical estimators of a mutlidimensional parameter
Yu. Yu. Linke, Alexander I. Sakhanenko · Siberian Advances in Mathematics · 2014
We study the accuracy of estimation of unknown parameters in the case of two-step statistical estimates admitting special representations. An approach to the study of such problems previously proposed by the authors is extended to the case of the estimation of a multidimensional parameter. As a result, we obtain necessary and sufficient conditions for the weak convergence of the normalized estimation error to a multidimensional normal distribution.