Moderate deviations for the maximum likelihood estimator

DOI10.1016/S0167-7152(01)00023-2zbMath0998.62013OpenAlexW2050049238MaRDI QIDQ1612941

Fu Qing Gao

Publication date: 5 September 2002

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00023-2

zbMATH Keywords

maximum likelihood estimatornon-regular cases

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Large deviations (60F10)

Related Items (17)

Moderate deviations for \(M\)-estimators ⋮ Moderate deviations for LS estimator in simple linear EV regression model ⋮ Moderate deviation principle for maximum-likelihood estimator ⋮ Some limit behaviors for the LS estimator in simple linear EV regression models ⋮ Moderate deviation principle for maximum likelihood estimator for Markov processes ⋮ Moderate deviations for estimators under exponentially stochastic differentiability conditions ⋮ Moderate deviations of marginal maximum likelihood estimator for \(m\)-dependent processes ⋮ Moderate deviations for M-estimators in linear models with \(\phi\)-mixing errors ⋮ Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process ⋮ MDP for integral functionals of fast and slow processes with averaging ⋮ Note on the moderate deviation principle of maximum likelihood estimator ⋮ Delta method in large deviations and moderate deviations for estimators ⋮ Convergence rate for LS estimator in simple linear EV regression models ⋮ Moderate deviations of maximum likelihood estimator for independent not identically distributed case ⋮ Moderate deviations for parameter estimation in some time inhomogeneous diffusions ⋮ Concentration inequality of maximum likelihood estimator ⋮ Deviation Inequalities for the Estimator of Linear Parameter in Stochastic Processes

Cites Work

• Large deviations of estimators
• Large sample point estimation: A large deviation theory approach
• On large deviation expansion of distribution of maximum likelihood estimator and its application in large sample estimation
• Optimal convergence rates and asymptotic efficiency of point estimators under truncated distribution families
• On a theorem of Bahadur on the rate of convergence of point estimators
• Rates of Convergence of Estimates and Test Statistics

This page was built for publication: Moderate deviations for the maximum likelihood estimator