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

DOI10.1214/19-AOS1830MaRDI QIDQ2196200zbMATH OpenFDO

Authors Karl Oskar Ekvall, Galin L. Jones

Publication date 28 August 2020

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

Full work available at URL https://arxiv.org/abs/1810.01203, https://projecteuclid.org/euclid.aos/1590480040

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)

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).

Recommendations

• The subset argument and consistency of MLE in GLMM: answer to an open problem and beyond
• Strong consistency of MLE in nonlinear mixed-effects models with large cluster size
• Strong consistency of the maximum likelihood estimator in generalized linear and nonlinear mixed-effects models
• Asymptotic properties of maximum likelihood estimation in the mixed analysis of variance model
• Maximum likelihood estimation of the multivariate normal mixture model

Cites work

• scientific article; zbMATH DE number 5284790 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 47310 (Why is no real title available?)
• scientific article; zbMATH DE number 51427 (Why is no real title available?)
• scientific article; zbMATH DE number 3507807 (Why is no real title available?)
• scientific article; zbMATH DE number 3509347 (Why is no real title available?)
• scientific article; zbMATH DE number 847272 (Why is no real title available?)
• scientific article; zbMATH DE number 3251885 (Why is no real title available?)
• scientific article; zbMATH DE number 3357791 (Why is no real title available?)
• scientific article; zbMATH DE number 3103824 (Why is no real title available?)
• A Correlated Probit Model for Joint Modeling of Clustered Binary and Continuous Responses
• Asymptotic Properties of Maximum Likelihood Estimators in Some Nonstandard Cases
• Asymptotic Properties of the Maximum Likelihood Estimate of an Unknown Parameter of a Discrete Stochastic Process
• Asymptotic properties of maximum likelihood estimates in the mixed model of the analysis of variance
• Asymptotic properties of maximum likelihood estimation in the mixed analysis of variance model
• Consistent maximum-likelihood estimation with dependent observations. The general (nonnormal) case and the normal case
• Joint modelling of mixed outcome types using latent variables
• Linear and generalized linear mixed models and their applications.
• Maximum Likelihood Estimation of Misspecified Models
• Mixed models. Theory and applications with R
• Monte Carlo likelihood inference for missing data models
• Note on the Consistency of the Maximum Likelihood Estimate
• Probability and Statistics
• Random Effects Modeling of Multiple Binomial Responses Using the Multivariate Binomial Logit‐Normal Distribution
• Strong consistency of the maximum likelihood estimator in generalized linear and nonlinear mixed-effects models
• The subset argument and consistency of MLE in GLMM: answer to an open problem and beyond

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

Describes a project that uses

Uses Software

• bernor

This page was built for publication: Consistent maximum likelihood estimation using subsets with applications to multivariate mixed models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2196200)