Nonparametric maximum-likelihood estimation of probability measures: existence and consist\-en\-cy

DOI10.1016/j.jspi.2004.03.017zbMath1065.62150OpenAlexW2015704835MaRDI QIDQ1781509

Nobusumi Sagara

Publication date: 27 June 2005

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2004.03.017

zbMATH Keywords

MLEConsistencyStationarityErgodicityNonparametric maximum-likelihood estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

Cites Work

• Strong consistency of approximate maximum likelihood estimators with applications in nonparametrics
• Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
• On the estimation of a probability density function by the maximum penalized likelihood method
• Consistency of two nonparametric maximum penalized likelihood estimators of the probability density function
• Nonparametric maximum likelihood estimation of probability densities by penalty function methods
• Epi-convergence of sequences of normal integrands and strong consistency of the maximum likelihood estimator
• A functional version of the Birkhoff ergodic theorem for a normal integrand: A variational approach
• Maximum Likelihood: An Introduction
• Consistency of the Maximum Likelihood Estimator in the Presence of Infinitely Many Incidental Parameters
• Epi‐consistency of convex stochastic programs
• Probability with Martingales
• Estimating density functions: a constrained maximum likelihood approach^*
• An Inconsistent Maximum Likelihood Estimate
• Rates of Convergence of Estimates and Test Statistics
• Nonparametric Roughness Penalties for Probability Densities
• Random LSC Functions: An Ergodic Theorem
• Note on the Consistency of the Maximum Likelihood Estimate
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