Penalized maximum likelihood estimation and effective dimension

DOI10.1214/15-AIHP720MaRDI QIDQ520783zbMATHOpenAlexFDO

Authors V. G. Spokoiny

Publication date 6 April 2017

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.0498

zbMATH Keywords

maximum likelihood estimationpenaltyWilks and Fisher expansions

Mathematics Subject Classification ID

Point estimation (62F10) Parametric tolerance and confidence regions (62F25) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

Abstract: This paper extends some prominent statistical results including emph{Fisher Theorem and Wilks phenomenon} to the penalized maximum likelihood estimation with a quadratic penalization. It appears that sharp expansions for the penalized MLE ( ilde{ hetav}_{G} ) and for the penalized maximum likelihood can be obtained without involving any asymptotic arguments, the results only rely on smoothness and regularity properties of the of the considered log-likelihood function. The error of estimation is specified in terms of the effective dimension (p_G ) of the parameter set which can be much smaller than the true parameter dimension and even allows an infinite dimensional functional parameter. In the i.i.d. case, the Fisher expansion for the penalized MLE can be established under the constraint "(p_G^{2}/n) is small" while the remainder in the Wilks result is of order (p_G^{3}/n ).

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