Optimal-order uniform and nonuniform bounds on the rate of convergence to normality for maximum likelihood estimators

DOI10.1214/17-EJS1264zbMATH Open1361.62013arXiv1601.02177MaRDI QIDQ527059FDOQ527059

Authors: Iosif Pinelis 

Publication date: 16 May 2017

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

Abstract: It is well known that under general regularity conditions the distribution of the maximum likelihood estimator (MLE) is asymptotically normal. Very recently, bounds of the optimal order $O(1/sqrtn)$ on the closeness of the distribution of the MLE to normality in the so-called bounded Wasserstein distance were obtained, where $n$ is the sample size. However, the corresponding bounds on the Kolmogorov distance were only of the order $O(1/n^{1/4})$. In this note, bounds of the optimal order $O(1/sqrtn)$ on the closeness of the distribution of the MLE to normality in the Kolmogorov distance are given, as well as their nonuniform counterparts, which work better for large deviations of the MLE. These results are based on previously obtained general optimal-order bounds on the rate of convergence to normality in the multivariate delta method. The crucial observation is that, under natural conditions, the MLE can be tightly enough bracketed between two smooth enough functions of the sum of independent random vectors, which makes the delta method applicable.

Full work available at URL: https://arxiv.org/abs/1601.02177

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zbMATH Keywords

Berry-Esseen boundsmaximum likelihood estimatorsrates of convergencedelta method

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05)

Cited In (10)

• Bounds for the normal approximation of the maximum likelihood estimator
• Assessing the multivariate normal approximation of the maximum likelihood estimator from high-dimensional, heterogeneous data
• Optimal convergence rates for Good's nonparametric maximum likelihood density estimator
• Rate of convergence of maximum likelihood density estimate to a normal law
• Fixed point characterizations of continuous univariate probability distributions and their applications
• Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators
• Optimal-order bounds on the rate of convergence to normality in the multivariate delta method
• Wasserstein distance error bounds for the multivariate normal approximation of the maximum likelihood estimator
• Bounds for the normal approximation of the maximum likelihood estimator from \(m\)-dependent random variables
• Estimation of smooth functionals in high-dimensional models: bootstrap chains and Gaussian approximation

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