Asymptotics of Monte Carlo maximum likelihood estimators

  1. Błażej Miasojedow
  2. Wojciech Niemiro
  3. Jan Palczewski
  4. Wojciech Rejchel

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.

Download article

This article

Probability and Mathematical Statistics

36, z. 2, 2016

Pages from 295 to 310

Other articles by author

Google Scholar

zamknij

Your cart (products: 0)

No products in cart

Your cart Checkout