Critical dimension in profile semiparametric estimation

DOI10.1214/14-EJS982zbMATH Open1308.62031arXiv1303.4640MaRDI QIDQ489169FDOQ489169

Authors: Andreas Andresen, V. G. Spokoiny 

Publication date: 27 January 2015

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: This paper revisits the classical inference results for profile quasi maximum likelihood estimators (profile MLE) in the semiparametric estimation problem. We mainly focus on two prominent theorems: the Wilks phenomenon and Fisher expansion for the profile MLE are stated in a new fashion allowing finite samples and model misspecification. The method of study is also essentially different from the usual analysis of the semiparametric problem based on the notion of the hardest parametric submodel. Instead we derive finite sample deviation bounds for the linear approximation error for the gradient of the loglikelihood. This novel approach particularly allows to address the important issue of the effective target and nuisance dimension. The obtained nonasymptotic results are surprisingly sharp and yield the classical asymptotic statements including the asymptotic normality and efficiency of the profile MLE. The general results are specified to the important special cases of an i.i.d. sample and the analysis is exemplified with a single index model.

Full work available at URL: https://arxiv.org/abs/1303.4640

Recommendations

• Efficiency of profile likelihood in semi-parametric models
• On Profile Likelihood
• Profile likelihood and conditionally parametric models
• A Semiparametric Maximum Likelihood Estimator
• Profile empirical likelihood for parametric and semiparametric models

zbMATH Keywords

local linear approximationspreadlocal concentrationprofile maximum likelihood

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Parametric tolerance and confidence regions (62F25) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• Introduction to empirical processes and semiparametric inference
• Optimal smoothing in single-index models
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
• Generalized likelihood ratio statistics and Wilks phenomenon
• Bootstrap and wild bootstrap for high dimensional linear models
• The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses
• The bootstrap and Edgeworth expansion
• Profile likelihood inferences on semiparametric varying-coefficient partially linear models
• Title not available (Why is that?)
• Local quantile regression
• Asymptotic behavior of M-estimators of p regression parameters when \(p^ 2/n\) is large. I. Consistency
• Convergence rates and asymptotic normality for series estimators
• The Bernstein-von Mises theorem for the proportional hazard model
• On Profile Likelihood
• The Accuracy of the Gaussian Approximation to the Sum of Independent Variates
• Asymptotic normality of posterior distributions in high-dimensional linear models
• Asymptotic normality of posterior distributions for exponential families when the number of parameters tends to infinity.
• A high-dimensional Wilks phenomenon
• Parametric estimation. Finite sample theory
• Asymptotic behavior of M estimators of p regression parameters when \(p^ 2/n\) is large. II: Normal approximation
• Asymptotics with increasing dimension for robust regression with applications to the bootstrap
• Observed information in semi-parametric models
• Asymptotic behavior of the empiric distribution of M-estimated residuals from a regression model with many parameters
• Empirical process of residuals for high-dimensional linear models
• Properties of the posterior distribution of a regression model based on Gaussian random fields
• Sieve likelihood ratio inference on general parameter space
• Critical dimension in profile semiparametric estimation
• Finite sample behavior of a sieve profile estimator in the single index mode

Cited In (6)

• Higher order semiparametric frequentist inference with the profile sampler
• Nonasymptotic approach to Bayesian semiparametric inference
• Chernoff index for Cox test of separate parametric families
• Critical dimension in profile semiparametric estimation
• Finite sample behavior of a sieve profile estimator in the single index mode
• On accuracy of Gaussian approximation in Bayesian semiparametric problems

This page was built for publication: Critical dimension in profile semiparametric estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q489169)