Asymptotic analysis of parameter estimation for the Ewens--Pitman partition

arXiv2207.01949MaRDI QIDQ6404024FDOQ6404024

Authors: Takuya Koriyama, T. Matsuda, Fumiyasu Komaki 

Publication date: 5 July 2022

Abstract: We derive the exact asymptotic distribution of the maximum likelihood estimator $(hat{alpha}_n,hat{heta}_n)$ of $(alpha,heta)$ for the Ewens--Pitman partition in the regime of $0<alpha<1$ and $heta>-alpha$: we show that $hat{alpha}_n$ is $n^{alpha/2}$-consistent and converges to a variance mixture of normal distributions, i.e., $hat{alpha}_n$ is asymptotically mixed normal, while $hat{heta}_n$ is not consistent and converges to a transformation of the generalized Mittag-Leffler distribution. As an application, we derive a confidence interval of $alpha$ and propose a hypothesis testing of sparsity for network data. In our proof, we define an empirical measure induced by the Ewens--Pitman partition and prove a suitable convergence of the measure in some test functions, aiming to derive asymptotic behavior of the log likelihood.

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