Concentration inequality of maximum likelihood estimator

DOI10.1016/J.AML.2010.06.019zbMath1203.62018OpenAlexW1993952293MaRDI QIDQ990811

Yu Miao

Publication date: 1 September 2010

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2010.06.019

zbMATH Keywords

MLEconcentration inequality

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Foundations and philosophical topics in statistics (62A01)

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Cites Work

• Note on the moderate deviation principle of maximum likelihood estimator
• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
• On large-deviation efficiency in statistical inference
• Exponential integrability and transportation cost related to logarithmic Sobolev inequalities
• Moderate deviations for the maximum likelihood estimator
• Transportation cost-information inequalities and applications to random dynamical systems and diffusions.
• Moderate deviations of maximum likelihood estimator for independent not identically distributed case
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