A note on the interpretation of the Bahadur bound and the rate of convergence of the maximum likelihood estimator
β Scribed by James C. Fu; Robert E. Kass
- Publisher
- Elsevier Science
- Year
- 1984
- Tongue
- English
- Weight
- 361 KB
- Volume
- 2
- Category
- Article
- ISSN
- 0167-7152
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
We connect the rate of consistency of the quasi-maximum likelihood estimator in GARCH(p; q) sequences with the number of the moments of the innovations.
In estimating a bounded normal mean, it is known that the maximum likelihood estimator is inadmissible for squared error loss function. In this paper, we discuss the admissibility for other loss functions. We prove that the maximum likelihood estimator is admissible under absolute error loss.
## Berry-Esseen bounds, with random and nonrandom normings, and large deviation probability bounds for two approximate maximum likelihood estimators of the drift parameter in the Ornstein-Uhlenbeck process are obtained when the process is observed at equally spaced dense time points. Also obtained