Strong consistency of the MLE for sequential design problems (Q1118955): Difference between revisions
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Property / reviewed by: Alexander Novikov / rank | |||
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Property / full work available at URL: https://doi.org/10.1016/0167-7152(88)90105-8 / rank | |||
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Property / cites work: Sequential Design of Experiments / rank | |||
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Property / cites work: A sequentially constructed design for estimating a nonlinear parametric function / rank | |||
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Property / cites work: Asymptotic inference from sequential design in a nonlinear situation / rank | |||
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Latest revision as of 14:59, 19 June 2024
scientific article
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English | Strong consistency of the MLE for sequential design problems |
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Strong consistency of the MLE for sequential design problems (English)
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1988
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The authors prove strong consistency of the maximum likelihood estimator for compact experiment spaces under some conditions on the integrability of the likelihood ratio. In particular, their result implies strong consistency of the MLE for the parameter \(\tau =\theta_ 1/2 \theta_ 2\) in the regression model \(y_ i=\theta x_ i+\theta_ 2x^ 2_ i+e_ i\) with \(| x_ i| \leq 1\) and where \(e_ i\) are i.i.d. N(0,1).
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strong consistency
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maximum likelihood estimator
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compact experiment spaces
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integrability of the likelihood ratio
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regression model
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