Note on the moderate deviation principle of maximum likelihood estimator

DOI10.1007/s10440-009-9479-4zbMath1186.62033OpenAlexW2041356836MaRDI QIDQ970485

Ying-Xia Chen, Yu Miao

Publication date: 19 May 2010

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-009-9479-4

zbMATH Keywords

Fisher informationmaximum likelihood estimatormoderate deviations

Mathematics Subject Classification ID

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

Related Items (6)

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 of marginal maximum likelihood estimator for \(m\)-dependent processes ⋮ Convergence rate for LS estimator in simple linear EV regression models ⋮ Concentration inequality of maximum likelihood estimator

Cites Work

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• Concentration inequality of maximum likelihood estimator
• On large-deviation efficiency in statistical inference
• Moderate deviations for the maximum likelihood estimator
• Moderate deviations of maximum likelihood estimator for independent not identically distributed case

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