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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 36, Fasc. 2,
pages 295 - 310
 

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.

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