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Moderate deviations for the maximum likelihood estimator

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  • Gao, Fuqing

Abstract

In this paper, we obtain a moderate deviation result for the maximum likelihood estimator under certain regular conditions. Two examples of non-regular cases are studied.

Suggested Citation

  • Gao, Fuqing, 2001. "Moderate deviations for the maximum likelihood estimator," Statistics & Probability Letters, Elsevier, vol. 55(4), pages 345-352, December.
    • Handle: RePEc:eee:stapro:v:55:y:2001:i:4:p:345-352
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    Cited by:

    1. Miao, Yu & Wang, Ke & Zhao, Fangfang, 2011. "Some limit behaviors for the LS estimator in simple linear EV regression models," Statistics & Probability Letters, Elsevier, vol. 81(1), pages 92-102, January.
    2. Guillin, A. & Liptser, R., 2005. "MDP for integral functionals of fast and slow processes with averaging," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1187-1207, July.
    3. Xiao, Zhihong & Liu, Luqin, 2006. "Moderate deviations of maximum likelihood estimator for independent not identically distributed case," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 1056-1064, May.
    4. Prakasa Rao, B.L.S., 2018. "Moderate deviation principle for maximum likelihood estimator for Markov processes," Statistics & Probability Letters, Elsevier, vol. 132(C), pages 74-82.

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