Consistent maximum likelihood estimation using subsets with applications to multivariate mixed models
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Publication:2196200
Abstract: We present new results for consistency of maximum likelihood estimators with a focus on multivariate mixed models. Our theory builds on the idea of using subsets of the full data to establish consistency of estimators based on the full data. It requires neither that the data consist of independent observations, nor that the observations can be modeled as a stationary stochastic process. Compared to existing asymptotic theory using the idea of subsets we substantially weaken the assumptions, bringing them closer to what suffices in classical settings. We apply our theory in two multivariate mixed models for which it was unknown whether maximum likelihood estimators are consistent. The models we consider have non-stochastic predictors and multivariate responses which are possibly mixed-type (some discrete and some continuous).
The authors extend to a general class of multivariate generalized linear mixed models (MGLMMs) the subset argument for the consistency of maximum likelihood estimators (MLEs). The subset argument relates the likelihood for the full data to that of a subset consisting of independent and identically distributed random variables. This argument is particularly useful in the framework of mixed models, where random effect designs may induce dependence among the response variables. Indeed, the authors discuss with full details two examples where the theoretical results of the paper allow us to check the consistency of the MLE, while it was not possible to prove such a consistency with other techniques from previous literature.
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Cited in
(9)- The subset argument and consistency of MLE in GLMM: answer to an open problem and beyond
- Confidence regions near singular information and boundary points with applications to mixed models
- Strong consistency of the maximum likelihood estimator in generalized linear and nonlinear mixed-effects models
- Strong consistency of MLE in nonlinear mixed-effects models with large cluster size
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