Consistent maximum likelihood estimation using subsets with applications to multivariate mixed models

DOI10.1214/19-AOS1830zbMATH Open1451.62053MaRDI QIDQ2196200FDOQ2196200

Authors: Karl Oskar Ekvall, Galin L. Jones 

Publication date: 28 August 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

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).

Full work available at URL: https://arxiv.org/abs/1810.01203

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zbMATH Keywords

consistencyGLMMmaximum likelihoodcrossed random effectssubset argumentMGLMM

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

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Cited In (5)

• Strong consistency of MLE in nonlinear mixed-effects models with large cluster size
• The subset argument and consistency of MLE in GLMM: answer to an open problem and beyond
• Strong consistency of the maximum likelihood estimator in generalized linear and nonlinear mixed-effects models
• Confidence regions near singular information and boundary points with applications to mixed models
• Mixed-type multivariate response regression with covariance estimation

Uses Software

• bernor

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