Asymptotic Relative Efficiency ( ARE )

Abstract The efficiencies of two consistent estimators of a parameter may be compared by the ratio of their asymptotic variances. Alternative measures are the Pitman and Bahadur measures, which relate to the ratio of sample sizes needed to achieve equivalent asymptotic power. Topics examined are the relevance for finite samples, sensitivity to the underlying distribution, higher‐order efficiency (to compare different fully efficient estimators), and efficiency estimation in complex models.