Near universal consistency of the maximum pseudolikelihood estimator for discrete models

DOI10.1016/J.JKSS.2017.10.001zbMATH Open1467.62054arXiv1701.04172OpenAlexW2964129725MaRDI QIDQ684065FDOQ684065

Authors: Juan-Miguel Gracia 

Publication date: 9 February 2018

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Abstract: Maximum pseudolikelihood (MPL) estimators are useful alternatives to maximum likelihood (ML) estimators when likelihood functions are more difficult to manipulate than their marginal and conditional components. Furthermore, MPL estimators subsume a large number of estimation techniques including ML estimators, maximum composite marginal likelihood estimators, and maximum pairwise likelihood estimators. When considering only the estimation of discrete models (on a possibly countably infinite support), we show that a simple finiteness assumption on an entropy-based measure is sufficient for assessing the consistency of the MPL estimator. As a consequence, we demonstrate that the MPL estimator of any discrete model on a bounded support will be consistent. Our result is valid in parametric, semiparametric, and nonparametric settings.

Full work available at URL: https://arxiv.org/abs/1701.04172

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zbMATH Keywords

consistencydiscrete modelsnonparametricsmaximum pseudolikelihood estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of operator theory in probability theory and statistics (47N30)

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Cited In (2)

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Uses Software

• PRMLT

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