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On large deviation expansion of distribution of maximum likelihood estimator and its application in large sample estimation

Author

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  • J. Fu
  • Gang Li
  • D. Zhao

Abstract

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Suggested Citation

  • J. Fu & Gang Li & D. Zhao, 1993. "On large deviation expansion of distribution of maximum likelihood estimator and its application in large sample estimation," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(3), pages 477-498, September.
    • Handle: RePEc:spr:aistmt:v:45:y:1993:i:3:p:477-498
    DOI: 10.1007/BF00773350
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    References listed on IDEAS

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    1. Rubin, Herman & Rukhin, Andrew L., 1983. "Convergence rates of large deviations probabilities for point estimators," Statistics & Probability Letters, Elsevier, vol. 1(4), pages 197-202, June.
    2. Cheng, Ping & Fu, James C., 1986. "On a fundamental optimality of the maximum likelihood estimator," Statistics & Probability Letters, Elsevier, vol. 4(4), pages 173-178, June.
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    Cited by:

    1. Miguel Arcones, 2006. "Large deviations for M-estimators," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 58(1), pages 21-52, March.
    2. Guangxin Jiang & L. Jeff Hong & Barry L. Nelson, 2020. "Online Risk Monitoring Using Offline Simulation," INFORMS Journal on Computing, INFORMS, vol. 32(2), pages 356-375, April.

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