Bounds for the normal approximation of the maximum likelihood estimator (Q502863): Difference between revisions
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Property / author: Gesine D. Reinert / rank | |||
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Property / author: Gesine D. Reinert / rank | |||
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Let \(\mathbf{X}=\left( X_{1},X_{2},\ldots,X_{n} \right) \) be i.i.d. random variables with density or frequency function \( f\left( x_{i}\, |\, \theta\right) \), where \(\theta\) denotes an unknown scalar parameter found in a parametric statistical model. Assume that the maximum likelihood estimator (MLE) \(\hat{\theta}_{n}\left(\mathbf{X} \right) \) exists and is unique. Let \(\theta_{0}\) be the true value (still unknown) of the parameter \(\theta\). It is well known that under some regularity conditions, as \(n\to \infty\) \[ \sqrt{ni\left( \theta_{0}\right)} \left(\hat{\theta}_{n}\left( \mathbf{X}\right) - \theta_{0} \right)\to Z \] in distribution, where \(Z \sim N(0,1)\) and \(i\left(\theta \right) \) is the expected Fisher information of a random variable. Using Stein's method, the authors derive explicit bounds for \[ d_{bW}\left( \sqrt{ni\left( \theta_{0}\right)} \left(\hat{\theta}_{n} \left( \mathbf{X}\right) - \theta_{0} \right),Z \right), \] where \(d_{bW}\) is the bounded Wasserstein distance between random variables. The results are applied to the class of one-parameter exponential distributions. The authors also use a perturbation method to treat cases where the MLE has positive probability of being on the boundary of the parameter space. | |||
Property / review text: Let \(\mathbf{X}=\left( X_{1},X_{2},\ldots,X_{n} \right) \) be i.i.d. random variables with density or frequency function \( f\left( x_{i}\, |\, \theta\right) \), where \(\theta\) denotes an unknown scalar parameter found in a parametric statistical model. Assume that the maximum likelihood estimator (MLE) \(\hat{\theta}_{n}\left(\mathbf{X} \right) \) exists and is unique. Let \(\theta_{0}\) be the true value (still unknown) of the parameter \(\theta\). It is well known that under some regularity conditions, as \(n\to \infty\) \[ \sqrt{ni\left( \theta_{0}\right)} \left(\hat{\theta}_{n}\left( \mathbf{X}\right) - \theta_{0} \right)\to Z \] in distribution, where \(Z \sim N(0,1)\) and \(i\left(\theta \right) \) is the expected Fisher information of a random variable. Using Stein's method, the authors derive explicit bounds for \[ d_{bW}\left( \sqrt{ni\left( \theta_{0}\right)} \left(\hat{\theta}_{n} \left( \mathbf{X}\right) - \theta_{0} \right),Z \right), \] where \(d_{bW}\) is the bounded Wasserstein distance between random variables. The results are applied to the class of one-parameter exponential distributions. The authors also use a perturbation method to treat cases where the MLE has positive probability of being on the boundary of the parameter space. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Wiesław Dziubdziela / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F05 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62F10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62F12 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62B10 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6673476 / rank | |||
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Property / zbMATH Keywords | |||
maximum likelihood estimator | |||
Property / zbMATH Keywords: maximum likelihood estimator / rank | |||
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Property / zbMATH Keywords | |||
normal approximation | |||
Property / zbMATH Keywords: normal approximation / rank | |||
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Property / zbMATH Keywords | |||
Stein's method | |||
Property / zbMATH Keywords: Stein's method / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / arXiv ID: 1411.2391 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 15:43, 18 April 2024
scientific article
Language | Label | Description | Also known as |
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English | Bounds for the normal approximation of the maximum likelihood estimator |
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Statements
Bounds for the normal approximation of the maximum likelihood estimator (English)
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11 January 2017
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Let \(\mathbf{X}=\left( X_{1},X_{2},\ldots,X_{n} \right) \) be i.i.d. random variables with density or frequency function \( f\left( x_{i}\, |\, \theta\right) \), where \(\theta\) denotes an unknown scalar parameter found in a parametric statistical model. Assume that the maximum likelihood estimator (MLE) \(\hat{\theta}_{n}\left(\mathbf{X} \right) \) exists and is unique. Let \(\theta_{0}\) be the true value (still unknown) of the parameter \(\theta\). It is well known that under some regularity conditions, as \(n\to \infty\) \[ \sqrt{ni\left( \theta_{0}\right)} \left(\hat{\theta}_{n}\left( \mathbf{X}\right) - \theta_{0} \right)\to Z \] in distribution, where \(Z \sim N(0,1)\) and \(i\left(\theta \right) \) is the expected Fisher information of a random variable. Using Stein's method, the authors derive explicit bounds for \[ d_{bW}\left( \sqrt{ni\left( \theta_{0}\right)} \left(\hat{\theta}_{n} \left( \mathbf{X}\right) - \theta_{0} \right),Z \right), \] where \(d_{bW}\) is the bounded Wasserstein distance between random variables. The results are applied to the class of one-parameter exponential distributions. The authors also use a perturbation method to treat cases where the MLE has positive probability of being on the boundary of the parameter space.
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maximum likelihood estimator
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normal approximation
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Stein's method
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