Asymptotics of Monte Carlo maximum likelihood estimators

Authors

  • Błażej Miasojedow
  • Wojciech Niemiro
  • Jan Palczewski
  • Wojciech Rejchel

Keywords:

Asymptotic statistics, empirical process, importance sampling, maximum likelihood estimation, Monte Carlo method

Abstract

We describe Monte Carlo approximation to the maximum likelihood estimator in models with intractable norming constants and explanatory variables. We consider both sources of randomness due to the initial sample and to Monte Carlo simulations and prove asymptotical normality of the estimator.

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Published

2016-09-02

Issue

Vol. 36 No. 2 (2016): 36, z. 2, 2016

Section

Articles [1035]