On consistency of the MLE

František Rublík

Kybernetika (1995)

  • Volume: 31, Issue: 1, page 45-64
  • ISSN: 0023-5954

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Rublík, František. "On consistency of the MLE." Kybernetika 31.1 (1995): 45-64. <http://eudml.org/doc/28343>.

@article{Rublík1995,
author = {Rublík, František},
journal = {Kybernetika},
keywords = {consistency; misspecification; maximum likelihood estimator},
language = {eng},
number = {1},
pages = {45-64},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On consistency of the MLE},
url = {http://eudml.org/doc/28343},
volume = {31},
year = {1995},
}

TY - JOUR
AU - Rublík, František
TI - On consistency of the MLE
JO - Kybernetika
PY - 1995
PB - Institute of Information Theory and Automation AS CR
VL - 31
IS - 1
SP - 45
EP - 64
LA - eng
KW - consistency; misspecification; maximum likelihood estimator
UR - http://eudml.org/doc/28343
ER -

References

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  1. R. H. Berk, Consistency and asymptotic normality of mle's for exponential models, Ann. Math. Statist. 43 (1972), 103-204. (1972) Zbl0253.62005MR0298810
  2. P. Billingsley, Statistical Inference for Markov Processes, The University of Chicago Press, Chicago 1961. (1961) Zbl0106.34201MR0123419
  3. L. Fahrheimer, Maximum likelihood estimation in misspecified generalized linear models, Statistics 21 (1990), 487-502. (1990) MR1087280
  4. R. V. Foutz, R. C. Srivastava, Statistical inference for Markov processes when the model is incorrect, Adv. in Appl. Probab. 11 (1979), 737-749. (1979) Zbl0426.62060MR0544193
  5. V. Jarník, Diferenciální počet II, ČSAV, Prague 1956 (in Czech). (1956) 
  6. J. L. Kelley, General Topology, van Nostrand, Princeton 1968. (1968) Zbl0157.53002MR0239550
  7. E. L. Lehmann, Testing statistical hypotheses, Wiley & Sons, New York 1959. (1959) Zbl0089.14102MR0107933
  8. T. Makelainen K. Schmidt, and G. P. Styan, On the existence and uniqueness of the maximum likelihood estimate of a vector-valued parameter in fixed-size samples, Ann. Statist. 9 (1981), 758-767. (1981) MR0619279
  9. L. Schmetterer, Introduction to Mathematical Statistics, Springer Verlag, Berlin 1974. (1974) Zbl0295.62001MR0359100
  10. M. S. Srivastava, C. G. Khatri, Introduction to Multivariate Statistics, North Holland, New York 1979. (1979) Zbl0421.62034MR0544670
  11. A. Wald, Note on the consistency of the maximum likelihood estimate, Ann. Math. Statist. 20 (1949), 595-601. (1949) Zbl0034.22902MR0032169
  12. H. White, Maximum-likelihood estimation of misspecified models, Econometrica 50 (1982), 1-25. (1982) Zbl0478.62088MR0640163
  13. H. White, Maximum likelihood estimation of misspecified dynamic models, In: Mis-specification analysis (T. Dijkstra, ed.), Lecture Notes in Econom. and Math. Systems 237, Springer Verlag, Berlin-New York 1984, pp. 1-19. (1984) Zbl0577.62090MR0791952

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