I. S. Borisov, D. V. Mironov, “Convergence rate of the distributions of normalized maximum likelihood estimators for irregular parametric families”, Sibirsk. Mat. Zh., 2003, Volume 44, Number 3,Pages <nobr>521

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Convergence rate of the distributions of normalized maximum likelihood estimators for irregular parametric families

I. S. Borisov^a, D. V. Mironov^b

^a Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
^b Novosibirsk State University, Mechanics and Mathematics Department

Abstract: We study the convergence rate of the distributions of normalized maximum likelihood estimators defined by a parametric family of discontinuous multidimensional densities in the case of a vector parameter.

Keywords: maximum likelihood estimator, likelihood ratio process, generalized Poisson process, asymptotic factorization of distributions.

UDC: 519.21

Received: 26.11.2002