Asymptotics of Monte Carlo maximum likelihood estimators
Słowa kluczowe:
Asymptotic statistics, empirical process, importance sampling, maximum likelihood estimation, Monte Carlo methodAbstrakt
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.
