Estimation of Smooth Functionals in Normal Models: Bias Reduction and Asymptotic Efficiency

Vladimir Koltchinskii, Mayya Zhilova

Let $X_1,\dots ,X_n$ be i.i.d. random variables sampled from a normal distribution $N(\mu ,\Sigma )$ in ${\mathbb{R}}^d$ with unknown parameter $θ=(μ,Σ)\in Θ:={\mathbb R}^d\times {\mathcal C…