Beyond the delta method
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Publication:6506340
arXiv2207.13954MaRDI QIDQ6506340FDOQ6506340
Authors: Antoine Lejay, Sara Mazzonetto 
Abstract: We give an asymptotic development of the maximum likelihood estimator (MLE), or any other estimator defined implicitly, in a way which involves the limiting behavior of the score and its higher-order derivatives. This development, which is explicitly computable, gives some insights about the non-asymptotic behavior of the renormalized MLE and its departure from its limit. We highlight that the results hold whenever the score and its derivative converge, including to non Gaussian limits.
Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Markov processes: hypothesis testing (62M02) Implicit function theorems, Jacobians, transformations with several variables (26B10)
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