Stochastic estimation and testing
asymptotic efficiencyasymptotic normalitycritical valuegoodness-of-fit testiterated bootstrap techniqueslikelihood functionlikelihood ratio testminimum distance estimateMonte Carlorandom sampling schemesrandomized testsstochastic confidence bandsstochastic maximum likelihood estimatestochastic minimum distance testsstochastic search
Several stochastic procedures (tests, estimates and confidence intervals) are introduced and the asymptotic theory of these procedures is developed. For example, let \(\{Q_{\theta}\), \(\theta\in \Theta \}\) be a family of distribution functions on \(R^ d\) with density f(\(\theta\),x), \(\Theta \subset R^ d\), \(X_ n=(x_ 1,...,x_ n)\) be an i.i.d. sample of size n, \(L_ n(\theta,X_ n)=\prod^{n}_{1}f(\theta,x_ i)\) be the likelihood function. Let \(S_ n=(s_ 1,...,s_{j_ n})\) be a certain random sample of \(j_ n\) elements in \(\Theta\). The stochastic maximum likelihood estimate (SMLE) \({\hat \theta}_ n={\hat \theta}_ n(X_ n,S_ n)\) is defined by the requirement \[ L_ n({\hat \theta}_ n,X_ n)=\max (L_ n(s_ j,X_ n),\quad 1\leq j\leq j_ n). \] Under some regularity assumptions, the SMLE is asymptotically (n\(\to \infty)\) normal and asymptotically efficient (like the usual MLE).
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