Bounds for the normal approximation of the maximum likelihood estimator

DOI10.3150/15-BEJ741MaRDI QIDQ502863zbMATH OpenFDO

Authors Andreas Anastasiou, Gesine Reinert

Publication date 11 January 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.2391, https://projecteuclid.org/euclid.bj/1475001353

zbMATH Keywords

normal approximationmaximum likelihood estimatorStein's method

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05)

Abstract: While the asymptotic normality of the maximum likelihood estimator under regularity conditions is long established, this paper derives explicit bounds for the bounded Wasserstein distance between the distribution of the maximum likelihood estimator (MLE) and the normal distribution. For this task, we employ Stein's method. We focus on independent and identically distributed random variables, covering both discrete and continuous distributions as well as exponential and non-exponential families. In particular, a closed form expression of the MLE is not required. We also use a perturbation method to treat cases where the MLE has positive probability of being on the boundary of the parameter space.

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