Bounds for the normal approximation of the maximum likelihood estimator from m -dependent random variables

Anastasiou, Andreas (2017) Bounds for the normal approximation of the maximum likelihood estimator from m -dependent random variables. Statistics and Probability Letters, 129. pp. 171-181. ISSN 0167-7152

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Abstract

The asymptotic normality of the Maximum Likelihood Estimator (MLE) is a long established result. Explicit bounds for the distributional distance between the distribution of the MLE and the normal distribution have recently been obtained for the case of independent random variables. In this paper, a local dependence structure is introduced between the random variables and we give upper bounds which are specified for the Wasserstein metric.

Item Type:	Article
Official URL:	http://www.sciencedirect.com/science/article/pii/S...
Additional Information:	© 2017 Elsevier
Divisions:	Statistics
Subjects:	H Social Sciences > HA Statistics
Date Deposited:	21 Jul 2017 15:14
Last Modified:	12 Dec 2024 01:31
URI:	http://eprints.lse.ac.uk/id/eprint/83635

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