Abstract
The purpose of asymptotic relative efficiency is to compare two statistical procedures by comparing the sample sizes, n1 and n2, say, at which those procedures achieve some given measure of performance; the ratio n2/n1 is called the relative efficiency of procedure one with respect to procedure two. Finite-sample evaluations being difficult or impossible, a sequence of measures of performances requiring that those sample sizes go to infinity is generally considered. If those measures of performance are indexed by n, say, so that n1 and n2 take the form n1(n) and n2(n), the limit limn→∞n2(n)/n1(n), if it exists, is called the asymptotic relative efficiency of procedure one with respect to procedure two.
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