### Abstract

Original language | Undefined |
---|---|

Place of Publication | Enschede |

Publisher | University of Twente, Department of Applied Mathematics |

Publication status | Published - 2000 |

### Publication series

Name | |
---|---|

Publisher | Department of Applied Mathematics, University of Twente |

No. | 1519 |

ISSN (Print) | 0169-2690 |

### Keywords

- IR-65707
- MSC-62H12
- EWI-3339
- MSC-60F10
- MSC-62F12
- MSC-62E20

### Cite this

*Moderate deviations of maximum likelihood estimators under alternatives*. Enschede: University of Twente, Department of Applied Mathematics.

}

*Moderate deviations of maximum likelihood estimators under alternatives*. University of Twente, Department of Applied Mathematics, Enschede.

**Moderate deviations of maximum likelihood estimators under alternatives.** / Inglot, T.; Kallenberg, W.C.M.

Research output: Book/Report › Report › Other research output

TY - BOOK

T1 - Moderate deviations of maximum likelihood estimators under alternatives

AU - Inglot, T.

AU - Kallenberg, W.C.M.

N1 - Imported from MEMORANDA

PY - 2000

Y1 - 2000

N2 - Since statistical models are simplifications of reality, it is important in estimation theory to study the behavior of estimators also under distributions (slightly) different from the proposed model. In testing theory, when dealing with test statistics where nuisance parameters are estimated, knowledge of the behavior of the estimators of the nuisance parameters is needed under alternatives to evaluate the power. In this paper the moderate deviation behavior of the (multivariate) maximum likelihood estimator determined within a proposed model is investigated not only under this model, but also under distributions close to the model. The set-up is quite general, including for instance also discrete distributions.

AB - Since statistical models are simplifications of reality, it is important in estimation theory to study the behavior of estimators also under distributions (slightly) different from the proposed model. In testing theory, when dealing with test statistics where nuisance parameters are estimated, knowledge of the behavior of the estimators of the nuisance parameters is needed under alternatives to evaluate the power. In this paper the moderate deviation behavior of the (multivariate) maximum likelihood estimator determined within a proposed model is investigated not only under this model, but also under distributions close to the model. The set-up is quite general, including for instance also discrete distributions.

KW - IR-65707

KW - MSC-62H12

KW - EWI-3339

KW - MSC-60F10

KW - MSC-62F12

KW - MSC-62E20

M3 - Report

BT - Moderate deviations of maximum likelihood estimators under alternatives

PB - University of Twente, Department of Applied Mathematics

CY - Enschede

ER -