Near universal consistency of the maximum pseudolikelihood estimator for discrete models

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

Authors Juan-Miguel Gracia 

Publication date 9 February 2018

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

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

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)

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.

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Cited In (3)

• Exact \(P\)-values for discrete models obtained by estimation and maximization
• A model and a numerical scheme for the description of distribution and abundance of individuals
• Nearly universal consistency of maximum likelihood in discrete models

Uses Software

• PRMLT

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