Moderate deviations of maximum likelihood estimators under alternatives

T. Inglot, W.C.M. Kallenberg

    Research output: Book/ReportReportOther research output

    18 Downloads (Pure)

    Abstract

    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.
    Original languageUndefined
    Place of PublicationEnschede
    PublisherUniversity of Twente, Department of Applied Mathematics
    Publication statusPublished - 2000

    Publication series

    Name
    PublisherDepartment 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

    Inglot, T., & Kallenberg, W. C. M. (2000). Moderate deviations of maximum likelihood estimators under alternatives. Enschede: University of Twente, Department of Applied Mathematics.
    Inglot, T. ; Kallenberg, W.C.M. / Moderate deviations of maximum likelihood estimators under alternatives. Enschede : University of Twente, Department of Applied Mathematics, 2000.
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    keywords = "IR-65707, MSC-62H12, EWI-3339, MSC-60F10, MSC-62F12, MSC-62E20",
    author = "T. Inglot and W.C.M. Kallenberg",
    note = "Imported from MEMORANDA",
    year = "2000",
    language = "Undefined",
    publisher = "University of Twente, Department of Applied Mathematics",
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    Inglot, T & Kallenberg, WCM 2000, 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.

    Enschede : University of Twente, Department of Applied Mathematics, 2000.

    Research output: Book/ReportReportOther 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 -

    Inglot T, Kallenberg WCM. Moderate deviations of maximum likelihood estimators under alternatives. Enschede: University of Twente, Department of Applied Mathematics, 2000.