Assessing the multivariate normal approximation of the maximum likelihood estimator from high-dimensional, heterogeneous data

Andreas Anastasiou

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arXiv · 1510.03679

Assessing the multivariate normal approximation of the maximum likelihood estimator from high-dimensional, heterogeneous data

Andreas Anastasiou

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Abstract

The asymptotic normality of the maximum likelihood estimator (MLE) under regularity conditions is a cornerstone of statistical theory. In this paper, we give explicit upper bounds on the distributional distance between the distribution of the MLE of a vector parameter, and the multivariate normal distribution. We work with possibly high-dimensional, independent but not necessarily identically distributed random vectors. In addition, we obtain explicit upper bounds even in cases where the MLE cannot be expressed analytically.

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Andreas Anastasiou. 2018-07-20. Assessing the multivariate normal approximation of the maximum likelihood estimator from high-dimensional, heterogeneous data. https://arxiv.org/abs/1510.03679

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