ASYMPTOTICS OF MONTE CARLO MAXIMUM LIKELIHOOD
ESTIMATORS
Błażej Miasojedow
Wojciech Niemiro
Jan Palczewski
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.
2010 AMS Mathematics Subject Classification: Primary: 62F12; Secondary:
60F05.
Keywords and phrases: Asymptotic statistics, empirical process, importance sampling,
maximum likelihood estimation, Monte Carlo method.