Strong consistency of the MLE for sequential design problems

DOI10.1016/0167-7152(88)90105-8MaRDI QIDQ1118955zbMATH OpenOpenAlexFDO

Authors W. P. McCormick, Ashim K. Mallik, Jack H. Reeves

Publication date 1988

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(88)90105-8

zbMATH Keywords

compact experiment spacesintegrability of the likelihood ratiomaximum likelihood estimatorregression modelstrong consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Sequential statistical design (62L05)

Review text

The authors prove strong consistency of the maximum likelihood estimator for compact experiment spaces under some conditions on the integrability of the likelihood ratio. In particular, their result implies strong consistency of the MLE for the parameter \(\tau =\theta_ 1/2 \theta_ 2\) in the regression model \(y_ i=\theta x_ i+\theta_ 2x^ 2_ i+e_ i\) with \(| x_ i| \leq 1\) and where \(e_ i\) are i.i.d. N(0,1).

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Cites work

• A sequentially constructed design for estimating a nonlinear parametric function
• Asymptotic inference from sequential design in a nonlinear situation
• scientific article; zbMATH DE number 3604233 (Why is no real title available?)
• Sequential Design of Experiments

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(3)

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• Structured Policies for a Sequential Design Problem with General Distributions
• A note on the strong consistency of a constrained maximum likelihood estimator used in crash data modeling

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