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

DOI10.1214/18-BJPS411MaRDI QIDQ2180265zbMATH OpenFDO

Authors Andreas Anastasiou, Robert E. Gaunt

Publication date 13 May 2020

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

Full work available at URL https://arxiv.org/abs/1609.03970, https://projecteuclid.org/euclid.bjps/1580720428

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)

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.

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Cites work

• scientific article; zbMATH DE number 3263751 (Why is no real title available?)
• Assessing the multivariate normal approximation of the maximum likelihood estimator from high-dimensional, heterogeneous data
• Bounds for the asymptotic normality of the maximum likelihood estimator using the Delta method
• Bounds for the normal approximation of the maximum likelihood estimator
• 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
• Statistical Methods in Markov Chains

Cited in

(10)

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

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