Multivariate normal approximation of the maximum likelihood estimator via the delta method

DOI10.1214/18-BJPS411zbMATH Open1441.62139arXiv1609.03970MaRDI QIDQ2180265FDOQ2180265

Authors: Andreas Anastasiou, Robert E. Gaunt 

Publication date: 13 May 2020

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Abstract: We use the delta method and Stein's method to derive, under regularity conditions, explicit upper bounds for the distributional distance between the distribution of the maximum likelihood estimator (MLE) of a $d$-dimensional parameter and its asymptotic multivariate normal distribution. Our bounds apply in situations in which the MLE can be written as a function of a sum of i.i.d. $t$-dimensional random vectors. We apply our general bound to establish a bound for the multivariate normal approximation of the MLE of the normal distribution with unknown mean and variance.

Full work available at URL: https://arxiv.org/abs/1609.03970

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zbMATH Keywords

multivariate normal distributionStein's methodmulti-parameter maximum likelihood estimation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12)

Cites Work

• Title not available (Why is that?)
• On the existence and uniqueness of the maximum likelihood estimate of a vector-valued parameter in fixed-size samples
• Rates of convergence in normal approximation under moment conditions via new bounds on solutions of the Stein equation
• Bounds for the asymptotic normality of the maximum likelihood estimator using the Delta method
• Bounds for the normal approximation of the maximum likelihood estimator
• Statistical Methods in Markov Chains
• Assessing the multivariate normal approximation of the maximum likelihood estimator from high-dimensional, heterogeneous data

Cited In (10)

• Bounds for the normal approximation of the maximum likelihood estimator
• Bootstrapping and sample splitting for high-dimensional, assumption-lean inference
• Assessing the multivariate normal approximation of the maximum likelihood estimator from high-dimensional, heterogeneous data
• Fixed point characterizations of continuous univariate probability distributions and their applications
• Improved bounds in Stein's method for functions of multivariate normal random vectors
• Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators
• Bounds for the asymptotic normality of the maximum likelihood estimator using the Delta method
• Wasserstein distance error bounds for the multivariate normal approximation of the maximum likelihood estimator
• Delta-method inference for a class of set-identified SVARs
• Bounds for the normal approximation of the maximum likelihood estimator from \(m\)-dependent random variables

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